Just buy the cheap vodka (minimum 80 proof/40% alcohol). I don't see any reason to buy anything expensive. Grate the fruit. Don't go into the white pith because it's bitter tasting. Put the grated peel in 4 oz. bottles (I used mason jars) and cover with vodka. The general rule is a half cup of vodka (4 oz.) per one lemon. Oranges are about the same size as lemons, so the same rule applies. Since limes are smaller, I use 2 limes for every 4 oz.
Screw the lid on tightly. Store the jars in a cool, dark place for 3 to 6 weeks. Take them out every 3 days or so and give them a shake. After the weeks have passed, strain out the peel, put the extract back in a jar and use as you would any extract.
Don't waste the juice from the fruit! If you don't need it right away, squeeze it over ice cube trays and freeze. You can add a cube to a glass of water (I use the small cubes for this purpose). I drank the orange juice because, hey, fresh squeezed orange juice. Who can resist?
I haven't done the math, but I know these extracts cost me just a few cents to make.
How do you use citrus extracts? I'm thinking orange in marshmallows, lemon in pancakes, and lime in buttercream frosting. Those are just a few ideas! What will you use them in?