Steve, technically you can burn any petroleum product you can pump through the hose/tube network. I regularily burn 20 wt, hydraulic oil. ATF and even synthetic hydraulic oil in my '02 F350 PSD. I have an abundant supply of the used stuff available. I have also installed a filter upstream of the switching valve to protect my system from any dirt that may get into the tank and I only fill my front tank with lube oil.
I do not notice any difference in running lube oil. There is no smoke, odor and my mileage is the same as on diesel.