Yes, but I dunno if you could get the bob effect that they have while they're holding it. You would just make it so like...
Say you're player was a square, 32x32. You want to make it so the player can pick up an item, and then carry it around. First, you pick a point. Since it's a featureless square, we'll just make it follow the center.
You'd make it so when button _______ is pressed you activate a variable in the item you're picking up. When that variable is active, it follows the position you decided on. Our position is te center of a 32x32 square, so it would go like this:
player.x+16
player.y+16
NOT RELATIVE
These would go in a 'move to position' action inside the object's step event.