I do this all the time, mostly as a way of incorporating unit test code into my modules, but I've seen no good reasons why it shouldn't be done for other purposes. I do it like this.

package My::Module;
...
return 1 if caller;

#! perl -slw
package main;
use My::Module;

my $thing = My::Module->new();
# Do My::Thing:)
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Use the module in the normal way in other programs, or invoke it using perl -x libpath/My/Module.pm to run the embedded program. The -x is only needed if you want any shebang line switches to be processed, omit it and put your switches on the command line if you prefer.