yes, but it's not worth bothering with. I've come across instructions for making emery wheels in an old book (been looking for it for a while and can't find the blessed thing!). Basically it called for a mixture of abrasive powder (emery) and a resin, I think it was a shellack base. You mix everthing together and cast in a mold. When set you have a grinding or sharpening stone
You can also do the same with casting rubber to make a rubber abrasive block.
Like so many of these things, you could do it yourself but there are commercially available versions that are usually better and cheaper.