yes, it is possible if you have any Developer or Advanced version of FileMaker.
I have an advanced version.
With all databases closed, click Tools, then Developer Utilities. There is a good section on this in the help file, but you basically identify the files that you want included in the "build" and you also identify the "primary" file.
Once you list all the databases that are to be included, you can save this "configuration files" so that you don't have to keep specifying the files. Instead, you simply "load" the configuration file.