Peel grapefruit; scrape white pulp from rind and discard pulp. Cut yellow rind into very thin strips. Cut grapefruit into sections (removing membrane). Prepare oranges and lemon in same way, and remove any seeds.
Combine fruit and rinds in water; let stand all night. Boil 10 minutes; set aside to cool. Stir in sugar. Boil again, stirring frequently over low heat until jelly test is satisfactory or until candy thermometer reads 218 F degrees.