Step 1Place the oranges and jalapeno in a glass jar or container. Pour in the tequila (save the tequila bottle). Seal and store in a cool, dark place for 4 to 6 hours, then remove the jalapeno. (The jalapeno will infuse the tequila fairly quickly.) Let the tequila sit overnight and up to several days with just the blood oranges.
Step 2Strain the tequila through cheesecloth or a fine sieve and pour it back into the reserved tequila bottle. Seal and store in the refrigerator or freezer for up to 3 months.
Step 1Thinly slice the jalapenos crosswise. In a small sauce pan, combine 1 cup of water with the sugar and bring to a boil. Add the jalapenos, reduce the heat, and simmer for 5 minutes. Remove from the heat. With a spatula, gently remove the jalapenos, laying them flat on parchment paper to dry. Store in a sealed container for up to one week.
Step 1Run a lime wedge halfway around the rim of four margarita glasses and dip into sugar. Set aside.
Step 2Combine the infused tequila, Grand Marnier, lemon juice, lime juice, orange juice and superfine sugar. Pour half the mixture into a cocktail shaker filled with ice. Shake until chilled, about 15 seconds. Strain into two of the sugar-rimmed glasses. Repeat to make two more cocktails. Garnish with a slice of blood orange and a candied jalapeno, if desired