I work at one of the major diesel engine manufactures. I did ask around on converting to CNG and propane a few months back. From my source, with a direct conversion, no internal mods (cam change, C/R bump) you would loose at least 10% of your power if not more. Propane cost as much as gas does in most areas. I think in some regions (Texas and Alberta Canada), it might be cheaper and feasable to convert. Propane has a higher octane rating. So you could increase you compression ratio. This leads into as to why Diesel motors are converted, they already have a high C/R 18:1 and up. They do need a new head though for spark plugs. The reason you see diesels converted to propane is for emmissions. You will mainly find them on commutor busses in big cities.
I did check out CNG, there would have been a savings, but limited infrasturcture where I live. OK and CA have more than a few stations. Still, figure about $200 savings for every 15K of miles. Also at least a 10% loss of HP, and a loss of range.