Yes.
To native ears, the two consecutive gerunds don’t sound especially remarkable even though they both end with -ing. The construction is fairly common:
The contractor is delaying building the front porch.
We’re risking missing our plane.
Soon, I’ll be finishing writing this answer.
Three gerunds in a row is unusual but still okay:
Some doctors are considering stopping recommending high-carbohydrate diets.
Four gerunds in a row sounds silly, though it’s still grammatically correct:
I’m enjoying imagining finishing writing this answer.
A Google search turns up 55,000 books that contain considering setting up.