When we have oranges or lemons I always throw the peels in a bag in the freezer, as I do with apple cores and peelings. The latest bag was more lemon and orange peel so I made some delicious jelly. The peels and apple cores are covered with water and boiled for an hour or so to get out all the flavor. This is then passed first through a sieve and then through a jelly bag, the sieve takes out the larger pieces that will jam up the jelly bag in no time which is time consuming.
Once all the liquid has strained compost the peels/apple cores and add enough sugar to your taste. Boil down until jam stage when a small spoonful will form a skin on a plate.
It did not make a huge amount but it is excellent and saves on food waste :)