Peel lemon and slice skin into thin strips. Cut fruit into chunks, removing and reserving seeds. Place seeds into a piece of cheesecloth and tie up.

In a medium saucepan, over medium heat, add sugar, water, lemon skin, and fruit to the pan. Bring mixture to a simmer. Add figs and cheesecloth with lemon seeds. 

Adjust heat to low, and gently poach figs for 1½ to 2 hours, until liquid has reduced and figs are thick, soft, and similar to marmalade. Add walnuts and turn off heat. Allow mixture to sit for 1 hour.

Remove cheesecloth from pan, and separate fig marmalade from liquid. Store marmalade covered, in the refrigerator, for up to 2 weeks, or freeze for 3 months. Reserve poaching liquid, and use for vinaigrettes, wine reductions, or topping frozen desserts. Serve fig marmalade on a cheese platter, toast, waffles, or vanilla ice cream.