This certainly isn't something to try at home. The only thing I've heard of is people using waste oil heaters to legally dispose of used oil.
Got curious about this, and waste oil heaters are illegal in California and NYC. It could also be illegal in certain cities and counties.
Waste Oil Heater FAQs
We answer your questions about waste oil heaters, how they work, and how they save the environment and your money.
* The EPA regulations in America allow on-site burning of waste oil.
* NFPA #21: Oil burning equipment, allows waste oil heaters.
* California and New York City outlaw burning of used oil.
* Check with local fire department and ensure you inform them that units are U.L. listed.
* No waste oil boilers are allowed in Massachusetts.
* New Jersey requires a Permit.