The conversion of vegetable oil into fuel oil has been around for a number of years
Agree, there is a well understood process whereby veg oil may be turned into biodiesel, this involves sodium hydroxide and methanol, both rather nasty materials. This also produces glycerin as a by product.
The process is potentially hazardous especially when done at home without proper precautions.
Alternatively straight vegetable oil without any treatment beyond filtering can be burnt in some diesel engines, usually only in warm conditions.
A small percentage of vegetable oil can be added to fossil fuel diesel and burnt in most standard engines.
However for reasons already given I am not keen on this.
Slightly relevant trivia, the first diesel engine ran on peanut oil !