Cut the oranges in half and poke the seeds out; put them into a tea ball if you have one, otherwise wrap them in cheesecloth. Slice the oranges thinly and then chop them crosswise as big or small as you like. Put them (and the tea ball) into a pot with the water and salt and bring to a boil; simmer for half an hour. Turn off the heat and let it sit for a few hours or overnight.
Stir in the sugar and bring the mixture to a boil. Cook for about half an hour, or until the mixture gels; you can test it by dropping a small spoonful onto a saucer that you get nice and cold in the freezer while the marmalade simmers. Meanwhile, cut the vanilla bean lengthwise with the tip of a sharp knife and scrape out the seeds. When the marmalade is the consistency you like remove it from the heat, pull out the tea ball of orange seeds and stir in the scraped-out vanilla seeds. Divide into clean, warm jars and seal or cool completely and store in the fridge or freeze.