Its most certainly possible and best to do it sooner rather than later. You will need tofind a local beekeeper who will be able to help you, especially needing to wear a bee suit. When collecting up the swarm you will need to transfer the comb theyve built and attach it somehow to the frames in the hive, rubber bands works well. This will encourage them to stay put in their new home, but most importantly you will need to ensure when gathering the bees up that you have the queen as they wont go anywhere without her. There are lots of videos on you tube, collecting swarms, and i would suggest you watch alot of them plus read up a bit about beekeeping, theres more to it than most people think but a wonderful hobby. Good luck and let us know how you get on.