Welcome to FTE, the greatest site on the web! It can be very confusing, but go here first:
http://www.biodieselcommunity.org/ Then read as many posts here as you can. Erick is right you can use WELL HEATED WVO, but for some of us that is not the answer. I have to many diesels to convert, so I chose to make biodiesel. I have been making and using bio for 2 years with no problems. There are quite a few of us making it here and we are all willing to help new people. Read some threads, ask some questions, and you'll be making it yourself soon.
My cost averages about $.45 per gallon and to date I've made and used over 7,000 gallons.
FABMANDELUX.