Autumn Colors has expressed some areas of concern. Fortunately, many have traveled down this road and have reported their experiiences.
Injection pumps (IP) in VWs and Mercedes such as the Bosch pump are hardy and don't mind the straight veg oil. There is another type of pump used in some small diesels, I believe it is Lucas, that should not be used.
The main danger to the IP is water. Used oil will have some water in it. Some of that water will settle out. Some will be caught by water separators. But some is mixed so well that only heat or vacuum will remove it. If you want to run veg oil, you need to filter it well, and check for suspended water.
The problem with water is that in the IP under pressure the tiny droplets can explode. This causes pits in the IP surfaces. That is a bad thing.
The warning about water is the same for home-brewed biodiesel from waste oil.
Autumn Colors wrote about the two-tank system. If you follow my link, you can see on way of doing it. Veg oil is thicker than diesel normally. To get it to flow like diesel, you need to heat it up to a minimum of 160 degrees. I use engine coolant to do the job. Electric heaters are also available.
I chose to make this conversion on an old vehicle. If it breaks, I have a backup. If you want to do this, I suggest that you get an old VW or Mercedes, and you should have some experience with wrenchin' on cars.
Here are a couple of good message forums for WVO and biodiesel.
http://biodiesel.infopop.cc/eve/ubb.xhttp://www.frybrid.com/forum/index.php