It is possible and relatively straight forward.

The key thing is not rely on the auto initialisation of the other components such that you can initialise and deinitialise them at will.

Basically, what you do, is load the images you want to use into your TDXImageList, then initialise the TDXDraw component. Once you've done that, you link the image list to the TDXDraw and build the colour tables.

Code:
fDXDraw.initialize;

fTileSet:=fEngineState.game.tiles;
fTileSet.dxdraw:=fDXDraw;

fTileSet.items.MakeColorTable;

fDXDraw.DefColorTable:=fTileSet.items.colorTable;
fDXDraw.ColorTable:=fTileSet.items.colorTable;
The only problem with this is that making the colour tables can take time.

When you're done and you want to load other tiles, you just call the finalize method of the DXDraw, and unlink the TDXImageList... or the other way round, I can't remember (Sorry :-) ).

The obvious downside to this is the fact that DirectX will completely deinitialise and then have to reinitialise, so its not a quick load and go option.

Hope this helps :-)