A minhag may certainly be adopted as long as it does not conflict with one's existing minhagim. For example, if you have the minhag to refrain from kitinyot on Passover, you cannot adopt the Sephardi minhag to eat rice at the seder. However, a minhag like saluting the sefer torah during hagbah with the pinky does not conflict with any Ashkenazi minhag and thus "importing" it presents no problem.
Let's take a more interesting case, though. Would it be permissible for an Ashkenazi synagogue to adopt the custom of the having the priestly blessing on every Sabbath? At first glance, this would appear to be acceptable under the reasoning I provided above, because the custom is to have the blessing on Yom Tov, and Ashekenazi synagogues in Eretz Yisroel have adopted this. However, in fact, the minhag, which like most very well-established minhagim is legalistically codified somewhere, states that we are only to have birchas hakohanim on Yom Tov, and therefore, although it would seem that it is permissible, it is actually not so simple: this is why Chabad, for all their enthusiasm for Sefardi minhagim, did not adopt this one. Minhagim can be annulled, of course, although doing so often requires the supervision of a rav and, in the case of adopting foreign minhagim, the hassle might not be worthwhile.
 R' Dovid Fink shlita gave this over to me in a shiur where he also mentioned that one should specifically intend to NOT adopt any new minhagim, because they effectively create new halakha for one to follow and potentially violate. According to most poskim, following a valid new minhag even once with the kevanah that you are taking it on causes it to become your minhag: the Baal HaTanya uniquely holds that it requires three different instances.
 It was just read to me out of a book. I believe it is Sefer Minhagim, which is the Chabad codex morium.
 Source: my LOR, a small-town Chabad shliach.