Remove thin slices of peel with a vegetable peeler. Squeeze juice from oranges; add water to juice to make 2 cups. In a saucepan combine orange juice, orange peel, and sugar. Bring mixture to boiling; reduce heat and simmer, uncovered, over low heat for 5 minutes. Cool Pour into jar. Stir in rum. Cover with lid. Let stand at room temperature for 3 to 4 weeks. Strain through cheesecloth into bottles; cover.