Yes, it is OK to send email from different FROM addresses.

Be aware that you will want to turn off Domain Keys if you are sending from domains different from the domain provisioned with SendGrid as the foreign domains will cause Domain Keys to fail.

To fix this, you can add a Sender header, however this will cause an 'on behalf of' message to be shown in some mail readers. More information about Domain Keys and SendGrid can be found here.

Alternatively you can use the SMTP API to override the domain in the Domain Keys filter. The SMTP API Filter Settings page describes the filters that can be specified in the 'filters' section of the X-SMTPAPI header.