I hope Andiesenji will pipe in here since she is probably the forum expert on candied peels.
I always use the pith (but still attached to the peel) when I do candied citrus of any kind - but yes you do have to boil them several times. You might try it with a pomelo or perhaps a thick skinned grapefruit and use just the pith (which, by the way, I believe is actually very good for you nutritionally) if you can't find thick skinned lemons. The Jacques Pepin video posted by IndyRob is the basic 'fast' procedure though. I roll mine in sugar too when the candying part is finished.