I did some research when I was looking at running it in my diesel Jetta. There are many that sing the praises, but there are some horror stories out there as well. Check out
Fred's TDI Page. TDIClub.com. VW TDI Enthusiast Community and search. There was a horrible case of damage from a guy using it. There are also many that swear by it, so just be sure to do your research.
There are some "off the shelf" processors available. According to their pages, using used cooking oil isn't the best. However, if you can find better quality resturaunts who change out their oil more frequently, they say it isn't that bad.
Do plenty of research before you make your decision. Also, be sure to change your filters often.