I think it is possible. The question is whether it is economical or not, and how it compares to other energy storage methods from economic and environmental perspective.
In principle it is possible using various methods including cryogenics. However, the real challenge will be the energy requirements, safety and cost effectiveness of such a process.
My take will be to integrate the methanation process into an existing energy generation facility such as GT or SOFC producing a hybrid system of sort.