Is it possible to use CBCGPToolBar in dialog boxes?

Yes. To do so, you need to add CBCGPToolBar m_wndToolBar in your dialog class and add the following code in CMyDialog::OnInitDialog:

BOOL CMyDialog::OnInitDialog()
{
...
m_wndToolBar.SetOwner (this /* dialog class */);
m_wndToolBar.SetRouteCommandsViaFrame (FALSE);
...
}