Slice the oranges into thin slices and place in a large pan. Fill enough water in the pan to cover the oranges. Bring the pot of oranges and water to the boil, then simmer for 5 minutes. Drain off the liquid and fill with fresh water. Bring to the boil, then simmer on low heat for 2 – 2.5 hours, stirring regularly, until the fruit is soft. Make sure there is always enough water in the pot to cover the oranges. Turn off the heat after 2.5 hours, cover and leave overnight.
The next day add juice, sugar and lemon juice, and bring to the boil on high heat for 5 minutes. Do not stir. Add vanilla, brown sugar and rum and continue to boil on low heat for about 20 – 30 minutes until set, stirring once in a while. Test to see if the marmalade has set by cooling a little bit on a spoon. If it is still runny then boil for another 5 minutes. Make sure you check frequently near the end. Stop stirring, let the pot sit untouched for 5 minutes so the heat can settle, then spoon over into sterilised jars. The marmalade will keep in sterilised jars for up to a year.