Go for it, just remember tuning is key and be sure to retard the ignition timing -2 degrees for every 50shot increment.
Do not use platinum spark plugs, use copper, 2 steps colder than stock. NGK's are best. But I also herd Venom makes spark plugs now and people have had great success with them on the Cobalt forums.
Use a wet kit, and make sure your fuel system is working properly and building plenty of pressure.
Those are the basic guidelines that I've been going by in all my previous cars that I have sprayed before in teh past (2 2g NA Eclipses, 1 EF Civic Hatch, 2 s13 240sx's). Currently spraying my GF's Cobalt SS 2.4L N/A for about year now and is holding it like a fucking champ! Gotta love GM.