Among others, Northern Hydraulic sells biodiesel processors to convert vegetable oil (new or used) to diesel. Here's s link to
one of theirs. Using this approach, no modifications are needed for the diesel engines.
Apparently, you mix in some methanol and KOH or NaOH (as the catalyst) as a part of the conversion process.
NH sells 4 or 5 different models - from the basic, $2500 manual model above where you measure and add the chemicals to the tank, to a $13000 unit where you fill the tanks, "press the big green button, and walk away."
Apparently, the process takes a couple of days to finish- the oil gets circulated and mixed during the processing, which removes the glycerin from the oil.
They also state that, if you have a source of vegetable or animal-based oil, the remaining costs are about 85 cents a gallon. (If you contract to haul away used cooking oil for free from the fast food joints, and you could pay for the processor in a couple of months...)