I shot a deer last month and I saved the fat and turned it into cooking oil. Here is how I did it....
Take the deer fat (it is hard and waxy) and cut it up into small pieces.
Put it in a pot and cook it at LOW heat with NO water.
What will happen is that the fat will melt, and what you have left is oil. I poured this oil through a coffee filter (to filter out the solids) into a mason jar and let it cool. It turned white like candle wax. You can then cook with it. I use a few tablespoons in my electric skillet and it melts back down into oil. Nothing tastes better than deer meat fried in its own fat. Seriously!! You should try it.