I thought the same thing several months ago, so I went to home depot and bought a bunch of small spools in varying shapes and sizes.
No matter which one I tried, it was impossible to extrude in a standard hot end. It might be possible to use, but you would have to make a tapered barrel or something special. I do not have a lathe so I cannot experiment any further with this idea.
The problem I saw was that once a substantial enough portion of the nylon softened, it expanded in the barrel until the friction was too much to push it through. I could only make an extrusion about 10cm long before it jammed.
The gasses it releases upon thermal decomposition are also toxic and it stinks much more than ABS or PLA. For safety and comfort, you should have ventilation to run it.
