Ya, I do this often with my Single Coil guitars - I don't like going up a full guage, but I want a little more mass on the high E, so I throw on a .009-.042 set of Slinkies and replace the E with a spare .010...
And don't forget, before Ernie Ball entered the picture and started making strings in lighter gauges, all guitar players who wanted reasonable string guages (as opposed to playing huge, fat "acoustic" strings on their Fenders and Gretsch's) had to put their own string sets together from a combination of guitar and banjo strings...