Get the filters off ebay, I think its filterbagman in Bradford, they are filter socks, I use 3, 25micron, 5 micron then 1 micron. Stuff the 25 into the 5 and then stuff them both inside the 1 micron so you only need to filter through them once. I use a wheely bin with a tap near the bottom and hang the bags through an old door that I've cut a hole out of. Its cutting edge stuff I know but stay with me here. I have started putting old jeans legs in aswell so the dirty oil goes through that first, it keeps the actual filters really clean, you do have to clean them every so often which is not a pleasant task but when you pull the jeans leg out all the fat stays in there and you can just throw that away. Just pour the dirty oil in at the top and tap off the clean oil to pour into the tank.
I buy 300 litres at a time and have a couple of suppliers that collect it and part filter it so I don't get any water and solids in it. If you get water in it it will knacker your injectors so make sure its well settled as oil floats on water so the water will drop to the bottom.
That is as basic as a filter set up gets but its the way to go when you are just starting. Some people have fancy pumped systems with inline filters and heated settling tanks for de watering.
The oil is just basic vegetable oil, one supplier gets it from Chinese takeaways and his oil is very clean, my other supplier gets it from takeaways in Bradford and has more fats in it and smells a bit more interesting as your driving along...
I don't worry about miles per gallon anymore, my wifes Vectra does 50mpg and it costs half as much to run the landy. I brim the veg tank(which is the original fuel tank) for less than £15.00 and the only diesel I use is about 2 miles when I set off to get a bit of warmth in the engine, then before stopping 30 seconds on purge and a couple of hundred yards on diesel and its good to start next day, whatever the temp outside is.
Have a look on vegetableoildiesel.co.uk its a forum dedicated to running on veg oil, you can learn loads from it including the problems with air being sucked into the fuel pipes.