With a peeler, shave off the bright layer of peel from one orange and about half of the lemon. Chop into tiny julienne style pieces. Segment and cut into 1/2in pieces remaining orange and lemon pieces, discarding the white peel membrane. Combine the zest, cut fruit, sugar and pectin in bread machine pan.
Select Basic setting. Press Start/Stop and allow to combine for 5-6 minutes, scrape down sides with a spatula. Press Start/Stop setting to cancel cycle.
Select Bake setting and Start/Stop and allow to cycle until time reads 0:00. Using oven mits remove bread pan pour with a funnel or 1/4c measuring cup into clean jars. Refrigerate to set and this will last 2-4 weeks. You could also can in a hot water bath and store after completely cool.