It almost never makes sense to convert to SVO or WVO, at least not on most of the newer diesels.
Over on TDIClub you can read until your eyes bleed about nozzles plugging, injection pumps failing (mostly the cold start regulator), etc. all from the increased viscosity of running SVO/WVO. It's enough to scare me away, that's for sure, especially since I have a PD TDI.
Biodiesel requires no vehicle modifications at all. In colder climates you need to blend with D2 and D2 antigel to help bring down the pour point, but if you are going to be at -15*C or below you might as well switch back to D2 for the winter. There are companies marketing biodiesel antigels, but so far none of them have proved to be more than marginally effective. This topic comes up every winter over at TDIClub, and every winter they seem to be improving. Perhaps within another couple of years?....
None the less, all of the modification is of the fuel and not the vehicle.
Biodiesel is rather easy to brew, but difficult to get correct. If buying it comercially always ask for recent ASTM test data. They should have it on hand if it passed testing.
Many people have small biodiesel processors in their garages/basements/whatevers. I built a very small one, but I couldn't afford to build one large enough to produce useful amounts of fuel. The initial cost is ~$1000 to build a nice one, and you still have to source your oil. Usually you can get it for free, but once you factor in your trouble, materials, chemicals and your time I find it's better to buy it locally.