It should be possible, but as lazarus is still in development from time to time debug information is written to the console window. If that window would be closed, the application would crash, if it write this debug information.
You can turn of the creation of the console window in the compiler option dialog.
Run, Compiler Options, Linking tab, Target OS Specific options, and check the win32 gui application checkbox.
But you are warned your application may very well crash, until the LCL source code is completely freed from console output.
HTH,
Vincent.