You're asking about diesel-CNG dual fuel systems. CNG will extend (improve) your fuel economy because it is a way of substituting high cost diesel energy with low cost natural gas energy. There doesn't appear to be any public CNG stations in Knoxville and the closest station (Wartburg) appears to be selling CNG for $1.50/GGE. The price of CNG in DFW is about $2.35/GGE. However, there's a net federal CNG tax credit of $0.317/gallon, which means the net price for CNG is $2.03/GGE. Similarly, in Buffalo, NY, CNG is selling for $1.28/GGE or $1.09/DGE net.
A GGE has about 88% of the energy of a Diesel Gallon Equivalent (DGE) so the $2.03/GGE is really about $2.31/DGE. This means that you would be saving about $1.15/gallon in terms of diesel fuel (assuming $3.46/gallon diesel), but the amount you would save depends upon the amount of diesel fuel being substituted. You need to have an electronically-controlled CNG fuel system that can safely maximize CNG consumption to minimize your fuel costs.
To answer the OP's question - it's only worth it if you drive enough to pay back the cost of the conversion reasonably quickly. Depending upon the size of CNG cylinders used, a good diesel-CNG system will cost about $5-6000 installed. It won't hurt the engine if you use a good aftermarket injection system. Economy fumigation systems only have limited control over CNG delivery.
Whether a system is cheap depends on a lot of factors besides the cost of the equipment. Let's pretend that your vehicle gets 15 mpg and you drive 30,000 miles/year. Diesel fuel will cost you $8,000/year @ $4/gallon and $10,000/year @ $5/gallon.
If you were to install a $6000 CNG system that substitutes 40% diesel and CNG costs $1.50/GGE ($1.18/GGE net), the payback on the CNG system will be about 2.8 years. If diesel goes up to $5.00/gallon, the payback becomes 2.1 years. If you do some dyno tuning with $4/gallon diesel and can now substitute 60% diesel, your payback becomes 1.9 years.
Instead of buying your CNG in Wartburg, let's say you live in Miami, OK where CNG costs $0.75/GGE ($0.43/GGE net) and you're substituting 50% of $4/gallon diesel, the payback is about 1.7 years. If diesel goes up to $5/gallon, the payback becomes 1.3 years.
Depending upon fuel prices, fuel consumption, annual mileage, installation cost, and substitution rate, a CNG system could actually be cheap.