If you just blend some veg oil in the tank with your diesel you don't have to do anything special. Just keep it to 20% or less and you shouldn't have any problems starting, even in cold weather.

To run straight veg oil you need to install a second, heated tank. You can see (and buy) this kind of setup at greasel.com Trick is to start the car on diesel, then switch to veg oil after the engine is warmed up and oil is heated. Have to switch back to diesel before you shut down so you don't end up with cold, thick veg oil in your injection pump, etc., which might cause problems when you start up later. So, it requires a little bit of attention to things and isn't so great for lots of short trips. For short trips you might as well just run straight diesel or a blend in the stock tank.

I just enjoy fooling with the car, and I only paid $860 for my 300D turbo, so I don't have a big investment on the line! (that's the line for my wife...we aren't going to add up parts receipts!)