Yes, but I find it's generally not worth the trouble. Some people use pantyhose. You don't want something so fine it will clog, and trub is going to make it through anyway, so the return on your PITA is not so good.
For your final beer racking, try gelatin instead. In addition to clearing your beer it firms up your cake so less makes it through. For the initial rack to primary, don't worry so much about what goes in, it will settle to the bottom.