Step 1 In a small saucepan, combine the whole piloncillo with the water, cinnamon stick, cloves, lime zest and orange zest. Cover and cook over medium heat, turning and tapping the piloncillo occasionally with a wooden spoon, until the mixture comes to a boil, about 5 minutes. Reduce the heat to low and continue to cook, covered, until the piloncillo dissolves, about 6 minutes.
Step 2 Uncover and continue cooking until the syrup is thick enough to lightly coat a spoon, an additional 10 minutes. Leave the spices and citrus zests in the syrup. This makes about 1 cup syrup, which will keep up to 2 weeks, covered and refrigerated. Bring to room temperature before serving, straining if desired.