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
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In [Ent: United][1], Tucker sets a phased pistol to overload inside a wall panel. It causes substantial damage

DS9
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IN [DS9: Empok Nor][2], O'Brien uses his combadge to signal a phaser to overload. It explodes and causes a substantial diversion.

TNG
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In [TNG: The Hunted][4], Danar sets two phasers to overload. One in the turbolift (which Worf averts) and another inside a security panel which then explodes.

Voyager
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This one's a bit tricky. In [Voy: Worst Case Scenario][3], we see a phaser set to overload but in a way that causes a backfire.


  [1]: http://www.chakoteya.net/Enterprise/89.htm
  [2]: http://www.chakoteya.net/DS9/522.htm
  [3]: http://en.memory-alpha.wikia.com/wiki/Worst_Case_Scenario_(episode)
  [4]: http://www.chakoteya.net/NextGen/159.htm