Yeah it's possible (speaking from own experience) to make one using a Servlet Component, as stated above, but if there's a framework or anything you can add that makes it easier to manage (since a servlet is just about the lowest level of Java programming you can do in WebManager), I'd say use that.
I myself made a relatively simple one that passed information as JSON to a Flash object, so if you need a relatively simple one, you can use servlets. If you have a more complex one however, you'll need to spend a lot of time on your architecture, or do some research in the above. I've no experience with CXF or AXIS though.