There is a ton of information out there to help you convert your diesel to run on waste vegetable oil. It is not a conversion to be done lightly however as there are variables that need to be taken into account.
If you live in a very warm climate, it is possible to run without diesel at all and just start your car at any time, but most people need some sort of two-tank system in order to start (and shut down) on regular diesel, get the car up to operating temperature, then switch to WVO and then purge the engine of WVO before shutting off. It sounds more complicated than it is. One of the best information sites on the Web is frybrid.com. This guy who runs it has designed two-tank systems for a variety of cars and has installed tons of them. He is so busy with doing that that he hardly does regular servce anymore, that's how popular the concept is and how well it works (and how tested it is).
You should also check out biodieselnow.com
For those of you concerned about the cost at Greasel (or frybrid for that matter) think of it this way, for an investment of $1000, and a bit of time, you get the advantage of free fuel and you help the environment. This is the SOLE reason I just purchased an 84 300 d turbo diesel.