Modern diesel engines mostly wont run on straight veggie oil,they need biodiesel which can be made from veggie oil.
Older type diesels are often fine to run on veggie oil,particularily those which have a Bosch pump.
Cavalier (Isuzu) engines are great as are Peugeot xud,old Merc 190,s and lots of others.
The oil can be bought (usually unfiltered) commercially for around 50p per litre,or you can knock on doors of local restaurants etc. and try to get it free or cheap. Ime chip shops,kebab shops etc arent much use as the quality of the oils is very poor - full of animal fat - and takes forever to filter.
You need to have some system of filtering the oil.The simplest method is "sock filters" - which come in various grades. Typically from 100 microns down to 5 microns,so the oil can be filtered in stages.
Im fairly new to it,but many people speak about dewatering the oil.I dont know much about this yet,but the oil I currently use is very high quality and doesnt seem to need anything more than running through a filter to remove any largish particles.
In cold weather the oil can be too thick and cause difficult starting,rough running,and premaure pump failure.There are various answers to this,the simplest being to mix it with anything up to 50% diesel.
This partially negates the point of doing it imo as its relatively expensive.The best method ime is to mix 10- 15% petrol with the oil (believe it or not) which keeps the oil thin and makes the engine pretty pokey as well.
A wealth of info on the subject can be found here
http://www.vegetableoildiesel.co.uk/forum/index.phpP.S The limit set by the taxman is 2500 litres per year of personal use.
