Yes. I buy sea sponges at the beauty supply store, trim off any rough or loose edges and soak them in a mixture of vinegar and water overnight before first use and then from month to month. I personally don't like to order them online because then I can pick out a variety of absorbancies (the more dense sponges with smaller holes are more absorbant but a little harder to clean and the sizes vary a little bit). Art supply stores also carry sponges, but they are often more expensive.
I find them much more comfortable than tampons and physiologically I don't have the little ridge that the cups depend on to stay in place. I've found that if I carry a spare in a small ziplock-type bag, I can usually manage to find an appropriate place to rinse them out when I'm out and about. Plus, it's a significant financial savings.
Julie