You can and it works,the shot will depend on if you want a slow sinking bug or a fast sinking bug.I've seem bream swim up to a slow sinking bug take a look and back off,put a bigger shot on it and catch the same bream that had taken a look at it before.On the cast the shot will be the fast to hit the water,if you do not stop the cast at that point as for the bug to past that point you could get tangled in the line above the shot.You can do the same thing with a floating fly...........
Its just human nature but expect a shot and bug line tangle every now and then,on some days its not worth the hassel.