This is illegal in most places, namely converting an oil burning furnace or boiler to burn waste motor oil or waste vegetable oil. Alternative fuels are generally illegal for this use. Typical government justification is fire related (emissions/EPA are also used), though actual risk of fire is miniscule if you have even a bit of sense. Most insurance companies will not insure your home from fire if you are not using an off the shelf residential type system with inspection and approval from the local government. Some will, but you'll pay more. Exceptions that may be easier are outside boilers (think brick shed just outside your house, containing the boiler).
It can be done but it it worth the extra work, risk of retribution from the local government and insurance hassle and cost? Also risks of bad fuel (dirty/water) and the heat going out while you're away, in colder areas this can mean burst pipes and damage. Too much hassle and risk for most. A more refined fuel like biodiesel makes more sense and you likely wouldn't have to change anything on an existing oil burner. Wood boilers can make sense for some and can burn either logs or feed and regulate themselves with pellets. Those may make more sense. Or a wood stove for supplemental heat. Wood is a simple and safe renewable energy source that you usually won't get too much grief from government or insurance companies.
For a garage/workshop/outbuilding it's more practical to use WMO or WVO. Simple burners (not used unattended) are cheap and easy to build and very simple. More complex conversions of furnaces can be done and made safe to run automated. You don't get into this type of thing without significant investment of time and money into making your own fuel as whatever you acquire will not be clean enough to use through a traditional style burner and you won't save any significant amounts of money buying any liquid fuel ready to burn, though wood pellets can be cheaper and split/cord wood is always cheaper.
