My method is to use a veg peeler to peel the skin, then chiffonade. Use the juice separately.
It adds a touch of flavor and most certainly a great name to the product if you add a touch of spirits ... eg, tequila lime marmalade, scotch whiskey orange marmalade, grand mariner grapefruit marmalade ... Hmmmmm, now i'min the mood to make some too.

I also use the whole fruit - minus the pits. The addition of vanilla bean to Meyer lemon is great, as is a bit of fresh ginger. Two resources I recommend are: the website Food in Jars, and The Blue Chair Jam Cookbook, by Rachel Saunders. I make lots of jam year round depending on the fruit in season. You can use these sources as guideposts. Marmalades and jams are incredibly forgiving.

I use the whole thing - except the pits. I like that bitter edge in marmalade - and I also throw a spicy / chutney spin in there sometimes by adding a little onion, habanero, salt and pepper - great for glazing pork or chicken. Dymnyno's blood orange marmalade is a great example:

http://food52.com/recipes/8667_blood_orange_marmalade

You don't need to remove the membranes, but I usually pierce the oranges with a fork and boil them for about 15-20 minutes to reduce the bitterness. If they are really tart/bitter oranges, you might want to boil a little longer, or score and soak overnight.

No need to remove the membrane. It does cook down. Blanching the peels can help decrease the bitterness. You might try the technique for Seville Orange Marmalade detailed well here: http://www.davidlebovitz.com/2007/02/seville-orange/

Fine to include -- it will be part of the overall texture. Note, however, it also adds bitterness to the final product (one of the reasons most marmalades have a bitter element). So, the more you remove, the less bitter; and, the more you remove, the smoother the overall texture. Either of these are good or bad, depending on your point of view. Finally, much of the natural pectin is in the membrane (as well as the pith that you probably removed from the peel before including). The more you have, the easier it is to get a good set. So, lots of things to consider.