You certainly can if you run all of your shards on different ports and with different db directories. So you can do
mongod --port 27020 --dbpath /var/db/shard1
mongod --port 27021 --dbpath /var/db/shard2
mongod --port 27022 --dbpath /var/db/shard3
and so on.
Then you can connect to your shardsvr instance through mongos
and enter sh.addShard( "localhost:27020" )
and so on to add your shards.