Cooking and other veg oils have far too high a sulphur content and the cetane number is also too high. Engines will run on it if diluted with diesel enough but the wear on injector valves and pump components will be severe neutralising any savings you might be getting. In any case it would need to be thoroughly filtered, and you would get through plenty of filter elements which are not cleanable nor cheap to renew. The best thing you can do to get more economy is buy the best diesel you can find, one of the new ones like BP Ultimate, and sell your cooking oil to the factors that advertise for it.