Some time ago I did read about it in the newspaper, a company in Germany
makes a little change to the engine, so the veg oil runs better in the
Engine.
These modifications are somthing like and extra filter and a system to
pre-heat the veg oil, so it gets thinner, so it flows better through the
fuel lines
and injectors. But they were honest about the HDI engines of PSA, these
engines are at the moment too difficult to make the modifications.

Most likely you will smell somthing like fried chips if you are
driving behind a diesel car on veg-oil. I wonder what the smell would be if
you use those wok oils, for making Chinese food?
Olive oil with Garlic extract would smell fantastic :-))

Anyway, due to the loss of tax for the government, it is actually not
allowed.
If the police or customes catch you, you really have a big problem.