It's possible and I did it a while ago, I'll search through my archive........................................... .............................
10 minutes later.... Okay found it !

[pascal]
With TPictureCollectionItem(DXImageList1.Items.Add()) do
Begin
Picture.LoadFromFile('image.bmp');
Name := 'MyImage';
End;

DXImageList1.Items.Restore; // Don't ask me why this is needed, but it is!
[/pascal]

I tested it and it works, however I wouldn't advise this, I wrote a tutorial on my website that works with the DXDraw object, but doesn't use the DXImageList. I made a program once that uses a tiled bitmap of over 5 MB and there isn't even a slowdown noticeable, but I'm familiar with the problem that Delphi crashes (or runs very very slow) when you use big bitmaps in the DXImageList!

Hope this helps!