Its possible but the end product will not be uniform.
consider the cost of your time & compare with the difference in purchasing the EXACT product you need

It depends on how much you need. When ever I need some fine for seed starting I use a cheap coffee grinder only cost $10 new about $3 at many garage sales. It is like a mini food processor and takes only a couple of seconds to make into a fine grade. I keep a bottle full(a spice bottle with a shaker top)I can shake onto the soil. Al

Thank you! Yes, I am considering my time, but I am also thinking that if I get a large amount of the fine stuff I would have to get the coarse stuff, too when I need it. But if I get the coarse stuff I might not necessarily need the fine stuff! Geenhouse Megastore sells both perlite and vermiculite in 4 cu. foot bags at $15 and $20. I might get that, even though I think the reviews say they are both coarse. Shipping coasts just as much as the product, but it might be worth it. Homeharvest.com has 1.5 bushels of it I think with cheeper s/h, I might try them instead. Have to figure out how much I really want of the stuff!
Also, the coffee grinder idea - that sounds great. I have to check around here if we have anything like that!

I get large bags of both at Home Depot for a lot less than that. I have 30 gallon plastic garbage cans with the clamp down lid I buy on special for around $10 each, I use for storage. Al

I get the coarse grade perlite and pass it through a sifter. The fine stuff I use for seed starting and the coarse stuff goes into the mix for containers.
I don't use a lot for seed starting so this works for me.

Thanks for the suggestions! I wish there was a Home Depot store near here . . . there aren't really any stores like that around here. We purchase most of our stuff through catalogs or online. We have grocery stores and hardware but that's about it. The Fremont Co-op is where we get fertilizer and stuff for the farm, but they won't be selling soil or anything until April! I need it now, so that's why I have been searching like crazy online. I think I am going to go with the coarser grade stuff on HomeHarvest.com. Will let you know how it goes!