I saw some thing on pbs about a vanagon doing the same thing
You use used vegetable oil. Like, hook up with restraunts and use the oil they throw out every week. The guy I spoke to with the MBZ wagon told me the dining hall at his campus in his college days used to dispose of 300 gallons of used veggie oil a week. If you're getting 30+ miles per gallon on a diesel engine... thats more veggie oil than you can even think of burning.
I'm not too sure, but I think most restraunts have to pay for someone to roll by in a big truck and tank away their used oil. You could probably hook up with the owners and see if they'll let you gank theirs, you'll probbaly end up doing them a favor. You can also do it ninja style and roll up to the back of the establishment and pump it out yourself
The point is that its USED veggie oil and it has to be disposed of somehow... So burn it... and get some TDI action out of it in the process!
Oh, BTW. Most veggie-oil conversions are setup to run both regular diesel and veggie oil, so you can run 'dual fuel'.