As he said, it's possible but not really advisable, at least not for significant amounts.
It makes a lot of sense to have a "small change" address that's shared by Mycelium and a desktop-computer based wallet, so that whenever you want to spend a little bit you can do so regardless of the device you use. But for larger amounts, you should minimize the risk by keeping the private key away from any unsafe places. Use a cold wallet.

Onkel Paul