I would not say the filter change frequency would ever be a lot. I think most will not even have to change their filters earlier than their normal interval, but some may. That will likely be it.

As for adding straight vegetable oil to your tank for lubricity, I wouldn't recommend it, unless it's heated up before running(svo setups usually have a separate tank with a heating source). I'm not sure how cleanly it would burn or if it would even provide any benefit.

Use a diesel fuel additive designed for increasing lubricity, like stanadyne performance formula or lubricity formula, powerservice DFS or diesel kleen, or any number of additives. If lubricity is all you're after and you're not looking for a cetane boost, stability additives, etc that fuel additives provide, just add a little biodiesel. Biodiesel is not even close to dumping pure cooking oil in your tank.

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