I think you're pretty much fine doing any of the things tx bill suggested for filling the new filter. I'd recommend pouring one of those addtives in, like redline, stanadyne,power service, etc. Its a shot of pure cleaner/lubricant to the injectors, etc. I'm not a mechanic or expert, but I dont think pouring the old fuel into the new filter would really hurt anything. Also, I sure as hell wouldn't put ATF in my fuel. Thats an old truckers myth. Use the right tool for the job - atf is for your transmission. The reason you dont want to use it is because once burned, atf leaves a high ash content and residue in your engine, not what you want!

mcaan - for that cold of weather you're probably right, 15 is too high. I'd highly recommend the delvac 1 synthetic 5w-40. Its fluid down to -65. I live in the snow belt of Cleveland, and this winter was mild, but after leaving my car out all night in 8-15 degree weather, it starts with zero hesitation, and is smooth from the beginning. Other dieselfreaks in the area report the same.

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2004 Ram 2500 Cummins HO
2000 Jetta TDI
1999 E300 (sold)