How do you want to use it? If you want to use it in an oil furnace, I'd recommend changing out the rubber gaskets and such to silicone rubber, possibly adding another filter to the oil line. Cooking oil tends to eat through EPDM and latex, and french fry crumbs tend to clog the furnace. The silicone gaskets are easy to get though, all that stuff comes in standard sizes from Grainger.
Also, you have to think about temperature--if your oil tank and all that is kept indoors at a fairly warmish temperature, then not a problem, but otherwise I'd imagine the oil would become a solid in cooler temps--like Crisco. You could probably blend it with regular heating oil to avoid that issue, but up to what percentage I don't know. You could experiment, make different blends in paper cups and see what remains liquid in the refrigerator. I think I'd try that before dumping any in the oil tank, personally.
If you want to burn it in a woodstove, I think I would be concerned about creosote buildup. I know when I have those kinds of kitchen accidents, they tend to be smoky things. Maybe you could alternate, or burn it first when you light the fire, then later throw on some hardwood logs to burn hotter and clear out the carbon black?
As far as efficiency, I don't see any reason why it would be significantly more efficient as a fuel than regular diesel, but obviously it's cheaper and doesn't line the House of Saud's pockets nearly so much.
Lucky you! I would love to have access to that much veggie oil, I'd start a green fuels business with a multi- renewable fuel station and auto conversion service. We have fuel cell companies out here that are putting up fuel cell recharge stations in anticipation of electric cars (yep, really--fully functional).
