Quarter and seed, but do not peel lemons, limes, orange, and grapefruit. Peel, core and cut pineapple into 8 wedges.
Thinly slice cut-up lemons, limes, orange, grapefruit and pineapple. Remove any remaining seeds. Transfer fruit to a nonmetallic bowl. Pour water over fruit and let stand overnight.
Transfer undrained fruit to a heavy, wide, large Dutch oven. Bring to boil over medium-high heat. Let boil 15 minutes, then set aside 24 hours.
Stir sugar into fruit mixture. Bring to boil over medium-high heat. Reduce heat and simmer until thickened, stirring occasionally, about 1 hour.
Meanwhile, immerse eight 1-pint jars in boiling water. Boil for 15 minutes; keep immersed until ready to use. Ladle marmalade into 1 hot jar to 1/2-inch for top. Run plastic knife or spatula between marmalade and jar to release any air bubbles. Clean rim and threads of jar with damp cloth. Seal with new, scalded, very hot lid. Repeat with remaining jars. Let jars cool on rack. Test for seal. Store in cool dry place.