Take a vegetable peeler and strip the zest from 2 lemons and the tangerine. Place these zest strips into a large heatproof bowl (or use a fireproof bowl to ignite the punch) along with the sugar. Mash them together using a muddler, pestle, or the back of a wooden spoon. Allow this mixture to infuse for at least 3 hours (or let it infuse overnight).
Cut the tangerine in half and extract its juice into a measuring cup. Likewise, halve the lemons and squeeze their juice into the same measuring cup until you have ¾ cup of juice (unused lemon halves can be reserved for another purpose).
When you are prepared to serve, boil 1 quart of water. Combine the rum and cognac with the sugar and citrus peels in the bowl. If you intend to set the punch on fire, do it at this point (see note below).
Include the reserved citrus juice and the boiling water, then stir the mixture thoroughly. Finish by grating nutmeg on top of the punch and serving it in glasses using a ladle.