You absolutely need to check the label that is supposed to be on all diesel pumps, which tells if its LSD or ULSD. Putting LSD in can damage the particulate filter, depending on how much sulfur is present.

My local walmart has a big sign up that they have the "cheapest diesel in town", but the label on the pump says its LSD.

You can actually be fined 10K for putting LSD into a 2007 or newer diesel engine. After some point next year they will all be required to sell ULSD.