Yeah its possible.Ive done it a number of times.There are two modes

1.server side(ssh session to your droplet)
simply run the command

    dokku domains:set appname mydomain.com  *.mydomain.com

where appname is your dokku app name,mydomain is the name of your domain.it does not necessarily have to be .com .
once you run that it should release the application and deploy it again

2.client(side)
i'm assuming you deploy your application from your machine using "git dokku push master" command.if so then you should change the git remote of your machine
use

    git remote -v   //to check your remotes

if one exists then you can remove it using

   git remote rm remotename   //remote name is the one shown on source and destination

finally to change the domain name run the following command

   git remote add dokku dokku@yourdomain:yourappname

i hope this helps someone :)

I don't know if this has been changed recently but using dokku 0.4.14 the command is dokku domains:add appname yourdomain.com