Mythbusters tried it on an episode and found it nearly impossible to do. I seem to remember they used an Enfield and a Springfield in rests carefully aligned and very close to each other. Anyway it was episode #67 and this was their results which seems to indicate one isn't going to be able to mass produce them in their back yard for sale on eBay.
"During the Civil War, two soldiers’ bullets collided in midair and fused together.
PLAUSIBLE
The MythBusters first tried to mount two Civil War rifles in front of each other so that when fired, the bullets would collide in midair. However, this proved impossible because they were unable to get the guns to fire at the same time. Instead, they aimed a single rifle at a bullet suspended in the air. The fired bullet hit dead center, and the MythBusters found that both bullets had fused together into a single mass. Though incredibly unlikely, it is possible for two bullets to collide and fuse together in midair."