Not possible to create a loadable "approach" on any IFR GPS I know of.
What you can obviously do is create a flight plan whose waypoints just happen to form an approach procedure, and when you are near the destination you load that flight plan to replace the existing one.
With the GNSx30W units one can load flight plans generated in Flitestar, via a flash card and some Garmin converter software, but that doesn't appear to deliver anything useful when in the air already.