This is so easy to do. There are a couple of different methods, but this is mine:
First, scrub the peels really well and then either squeeze the juice out of the fruit to drink later, or eat them. Either way, make sure those peels are CLEAN!
Then, slice up the beautiful (and very clean) peels into strips and put them in a pot. You'll notice that there is pith here. It doesn't matter, because the flavors all blend so beautifully when cooked. Add enough water to let them float a little.
Bring to a boil, and then set it to simmer for a while. You're waiting for the peels to become translucent, like so:
Take them off the heat and drain them. Add them to a simple syrup mixture of 3/4 cup water to 1 cup sugar. Simmer it all together until most of the sugar syrup has been absorbed into the peel. It'll be pretty sticky and the left over sugar syrup (there shouldn't be much) will be pretty thick. At this point, pull them out of the pan and lay them on a baking rack-not touching-until they dry. This might take a while. Mine took overnight.
When they are dry, roll them in sugar and store them in a nice clean, tight jar.
Then, eat them! Or dip half into chocolate and eat them. Or put them in a baked good (some of mine are destined to become cookies this year). If they are really nice and dry, they should last quite a long time--several weeks. If you find they are pretty sticky still, store them with a little extra sugar in the jar to help preserve them.
No matter how you enjoy them, it's wonderful to turn something that would otherwise be waste into an enjoyable treat. I hope you try some soon!