Using cooking oil for alternative lighting?

I get a newsletter from Lehmann's & in their "specials" they showed a book on how to use either vegetable oil or olive oil in building your own oil lamps. Has anyone tried this method instead of using regular oil lamps? If so, would you share on how to make your own and is it more cost effective? We burn oil lamps in the evening and have many, the cost of the oil is becoming more costly. If someone knows of other alternatives, I would be interested. Thanx