Yes, it is VERY possible, and indeed one of the most fascinating things about lucid dreaming, imo. I've had it happen once and only once, and though I wasn't lucid at that point, it was VERY vivid. It's in my dream journal, if you care to read it.

Many people have stated that they can change their self in dreams, although the exact method and experience seems to vary as much as the lucid experience itself.

Apparently, changing anything about oneself is more easily attainable than many other things in lucid dreaming. For example, it's much harder to change your dream scene, i.e. teleport. Of course, one must be able to become lucid in the first place, and obviously recall the dream. Once past those milestones, though...