I personally do not run grease and do not recommend it. There's a right way to do it and a wrong way to do it. Most people end up doing it the wrong way. I saw a good post on the vortex which should help you.
The first key thing is to have the oil clean before it goes into the car... This means filtered to at least 10 microns.. 5 microns is even better but if you run it thru a 10 micron filter at least twice you should be good... Clean oil also means no water in it... Veggie oil (especially sutff that has cooked alot of frozen food) will have water in it... It'll draw water even if it was drained hot and allowed to cool... Letting it settle for a week or so and pumping the water from the top has worked well for me so far.. If you can find a place that changes their oil somewhat frequently, and their used stuff isn;t too crudy that'll help out alot.. CHeck to be sure also that they don't rinse the fryer with anysor of degreaser and allow it to drain in with the oil.. Not sure how to separate that from the oil yet, and it'll do bad things..
Make sure it is not hydrogenated oil too (it the stuff that gets somewhat solid when cool, like crisco) I have burned it, I probably burned more diesel trying to get it hot enuff to use than the amount of WVO (waste vegetable oil) I burnt...
The next thing to remeber is (and this one is the biggie where alot of people go wrong) It has to be hot before it goes into the engine.. Most accomplish this by using some sort of heat exchanger that is heated by engine coolent... Others have used various electric methods... Doesn;t matter how you get it hot but minimally it has to be 172 degrees F before it goes into the injection pump. I prefer to wait till it's about 180 for safety's sake... If it is too cold it won;t spray properly and it will let nasty deposites on the injectors, in the precombustion chambers, and in the cylinders... Eventually these deposites will get bad enuff that you'll tearing your engine down to get them cleaned out...(And it usually has to be scraped or chisled free) There are those that mix it with diesel.. Pending on where you are at and your climate I have heard mixed results with this.. I presonally didn;t want to chance it so I opted for a two tank system so I can start on diesel, warm everything up, switch to veggie, and then shut it back down on diesel..
Other things to keep in mind... Any rubber component in your fuel system that comes in contact with the veggie (or biodiesel if you decide to go that route) will have to be replaced with components made from Viton. This includes the injector pump seals, and the rubber fuel lines.. Otherwise the veggie based fuel will turn the regular old rubber to goo and make all sorts of leaks... I woudl also make sure your injectors are in good repair.. Had the head off my one VW recently only to find tons of deposites in the #1 cylinder... Turned out my injector wasn;t spraying properly causing all sorts of un burned crap to build up... When you get the technical end of it worked out go out and make some connection with some restaurants.. Some will drain their oil back into the original containers (very convenient) others woudl prefer some sort of drum to drain it into (get one with a lid so you're not collecting rain water too!)... You may have to come up with some sort of aparattus to collecto your oil.. Just make sure that you collect it promptly and not make a mess in their parking lot... Around this area WVO is very scarece since alot of people have been burning it... It has gotten to the point where some restaurants are now selling it for a dollar or so a galllon (still cheaper than diesel!) Be prepared to make an offer if you can;t get a source.. Seems to be mroe readily available n more urban areas. If the restaurant wants some sort of drum to dump into LOCK THAT BABY DOWN.. WVO theft is really growing in some areas (SERIOUSLY!) I've had my drums full of oil swiped 3 times now...
The end result is that it's not worth the risk adjusted savings. If it were risk free, I would say go for it. But the risk of damage is not worth the savings.