Is it possible to use CBCGPToolBar in dialog boxes?

Yes. To do so, you need to add CBCGPToolBar m_wndToolBar member to your dialog class, and add the following code in CMyDialog::OnInitDialog (see our sample application DlgBars):

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