Easier to start with an atmosphere-less moon - you need a smaller rock. Also been done. Also, in a way, we've been doing it since before space travel, because

Easier to start with an atmosphere-less moon - you need a smaller rock. Also been done. Also, in a way, we've been doing it since before space travel, because such material occasionally reaches Earth's surface in form of meteorites. But that's of course using naturally occurring impactors.