Yes you can do that. In SP4 Content Manager, is a Picklists section. In there are Default and any custom ones created in addition to the old edit Picklists as we had before. When you click on your custom Picklist, it brings up a standard Content Manager view where you can do the usual things including selecting the assets and sending them to a CDP.
You can backup the Picklist as a single .CDP file (this has always been the case) but each item with all its textures, mesh(es), scripts (if any), config.txt file, etc, etc will be added to the .CDP file and the resulting file can be many MBs in size.
A more efficient and less data intensive method is to simply backup the <kuid numbers> of assets in the Picklist as a text file.
