You can do it, but you’re not going to be real happy with the results.
Not only do I dislike UML, but i REALLY dislike having to create UML diagrams with Visio. But when I have to, Pavel Hruby’s Stencil and Template for UML 2.0 make it a little easier.
If you are creating UML docs using Visio, you owe it to yourself to check these out here.