Yes, you can. Essentially eye shadow is just mica powder. Most famous brand of mica powder in the stamping world is Pearl Ex. I use eye shadow just like chalk. I don't set it either. I also make my own glimmer mist with eye shadow. Just use the same recipes like your using Pearl Ex. If you follow any of the Pearl Ex recipes you can use eye shadow instead.
I know somebody will ask. Yes, you can use PearlEx as eye shadow. Of course, for legal reasons, Pearl Ex does not recommend this because Pearl Ex is an art tool. All the stunning eye shadow creations you see in high end fashion magazines was done using Pearl Ex. I own every single color of Pearl Ex. I have an addiction to mica powders.
Eye shadow is not acid free so I wouldn't recommend it for anything archival. I know some scrapbooker's do use it.