Is it possible to create an icon in sketch and add it to the framer library of icons?
Not directly to the icon menu in design mode, but: If you export it as SVG and remove all the fill="" attributes in the SVG code you can drag+drop the files into design mode and they will behave just like the material icons that come with Framer (so you can change their color in Framer).
There may also be some other SVG cleanup required, haven't looked too closely at what Sketch exports since I do my icons in Illustrator – but if you download the Material Icons repo, look at the "production" sets of SVG files and you'll see what you want your SVG to look like (as compared to the "design" set).
You can copy as SVG from Sketch and paste to Framer, if that’s what you mean.
This would be a huge benefit to Framer in the future. It's missing tools for design systems. Can't pick H1's etc, button states ( in design ) or custom icon sets. Hopefully this will change soon though.