Yes, we see it done (or attempted) a bunch of times in each of the various series. I've selected an example from each:
Enterprise
In Ent: United, Tucker sets a phase pistol to overload inside a wall panel. It causes substantial damage.
DS9
IN DS9: Empok Nor, O'Brien uses his combadge to signal a phaser to overload. It explodes and causes a substantial diversion.
TNG
In TNG: The Hunted, Danar sets two phasers to overload. One in the turbolift (which Worf averts) and another inside a security panel which then explodes.
Voyager
This one's a bit tricky. In Voy: Worst Case ScenarioVoy: Worst Case Scenario, we see a phaser set to overload but in a way that causes a backfire.