I meant buying big bottles of economy cooking oil from Asda's, as some
people do for unlawful use in their cars. I think using it in a
generator would be lawful (unless someone on uk. legal otherwise).

Perfectly legal for road use since changes in the revenue regulations:

http://www.hmrc.gov.uk/briefs/excise-duty/brief4307.htm

However the price of new vegetable oil has doubled in the last 12
months or so to around £1 / litre - so only just compares favourably
with road diesel - and is totally uneconomic compared to kerosene for
non-road applications.