Yes. I've made a little sample program that is located here:
ShoeBox-Standalone (http://www.glbasic.com/files/shoeboxsfx.zip)
The shoebox .sbx files get read backwards and the .exe files get read forwards by the operating system. Thus, you can concatenate both and load the resources from the attached shoebox in the .exe file.
Just found this, is this the way of doing it for all platforms or is there problems with GP2X for example?
I never tried, though I think it *should* work. On Mac I expect some trouble, though, since the .app is a folder, not an executable. Would have to check.