Just slice up the esrog, put it in the vodka and let it sit for 1-2 weeks.
My bro did this years ago, was a more complicated process as follows.
He used a huge mason jar, filled approx 20-30% with sugar, put the esrog in, filled to the top with Vodka (ideally there shouldn't be any air in there, overflow if necessary). He did this right after sukkos and purim time it was ready.
All the sugar dissolved and it was delicious.