Remove peels, in quarters, from oranges and lemons. Set fruit aside. Flatten peels; scrape off half the white pith and discard. Cut peels into thin slices; place in large saucepan. Add water and baking soda; stir. Cover; simmer 20 min., stirring occasionally. Chop peeled fruit. Add, with juices, to saucepan; stir. Simmer, covered 10 min.