Yes it is possible.

But I believe that itīs much more difficult and requires a lot of skill. And I donīt really know how it could work, because you donīt enter REM sleep right away when you fall asleep the first time.

Iīve also had a experience like that once, on my first sleep. I had very vivid HI, and when i visualised myself falling from a roof, and hit the ground with force, it fellt as if i was pulled in to the dream, and my body started to fade away, but then got to aware.