I routinely burned used engine oil in my '92, and continue to do so in my 2000, although to a lesser extent.
There's absolutely no need for any kind of system, or even any filtering (as long as you have the time to allow it to settle). I've always used the same method as Vaughn, although I've always let the oil settle a little longer, generally from 3 to 6 months. After 6 months, the top 2 to 3 inches of oil in the bottle (I always pour it back into the bottles when I did an oil change) would look like brand new oil. Clearly even the soot is settling out. Like Vaughn, I leave the last two inches or so in the bottle when I add it to the fuel tank.
Any home brewer will understand the benefits of settling--home brewed beer is allowed to settle so that the dormant yeast cells will fall to the bottom of the fermenter. I guarantee you yeast cells are a heck of a lot smaller than the dirt, soot, and other contaminants in waste oil from a diesel engine.
About the only caveat I would add to burning waste oil is that I wouldn't burn waste oil that came out of a gas engine, given the amount of water that's produced as a byproduct of gasoline combustion.
Mike