I usually veg under CFL's. I get bushier plants to start with. My vegbox which is a modified footlocker, holds 8 plants in 16 oz cups (4 X 23 watt CFL's & 2 X 20 flouro's). I run them in there to beef them up.If you mean CFL than yes to from CFL's to HID is great. I switch to my HPS when i am ready to flower.
I use a T5 system for veg which saves on electricity and saves on managing the heat given off by the HPS/MH. But yes you can use a HPS all the way through.you dont need cfls at all you can use a hps from seed to harvest. just be sure that you dont put the hps too close to small plants.