Combine first 5 ingredients in large saucepan. Pierce each orange peel strip with 4 cloves, spacing apart; add to pan. Simmer until mixture is reduced to 1/2 cup, about 5 minutes. Add marmalade; bring to simmer, stirring often. Remove from heat.
Using tongs, transfer 1 star anise, 1 cinnamon stick, 1 vanilla piece, and 1 orange-clove strip to each of three 8-oz. canning jars. Filld each jar with hot marmalade and seal with lids. (Can be prepared 4 weeks ahead. Refrigerate.).