Yes, I have done this a few times. However, when you get on the ferry make sure they know that you need to get off in VG! If they think they don't have passengers there is always a chance they don't stop. So I always confirm the time (it was at one point 4:30, not 5PM despite being listed as 5) ahead and speak with someone when boarding to ensure they know to stop in VG. If you are arriving on Anegada by ferry I would talk to them and confirm everything at that time.