Sounds easy until you start thinking about it. Waste oil is full of crud that has to be filtered and disposed of. If you then want to make biodiesel, you need some mixing equipment, chemicals and then you have a bunch of glycerine as a waste product to contend with.
This is not for the average suburban homeowner.
Check out what
these guys are doing. They're making the bio-diesel in a washing machine with glycerine.
I've also read that mustard greens have the best concentrations of oil. A pretty significant difference from soy IIRC.