in our lab we transfect siRNA to observe effect of (transient) gene expression knockdown and so far it works. By far it's easier and faster than plasmid expressing shRNA but as Krzysztof says it depends of what you want to do with it. Good luck
YOu can find some siRNA oligos that are modified to increase their stability in the cells, and then you don't need to integrate them into a plasmid construct. YOu just transfect them as they are. Check the website of Dharmacon or Ambion, they are the specialists for small RNAs.