Is it possible to save autocad drawing (.gwd) file to SQL server...?

Yes.
You can store any data in SQL that you need to - but if it's seriously big then it can use a lot of bandwidth when you retrieve them. In that case, it's better to keep the file in a file system, and store the path to that file in the DB. Since one user at a time will generally access the file, that frees up SQL bandwidth for other users.

If you use a SQL VARBINARY(MAX) column, you can store any type of data in there - again, you will probably want another field to hold the file name.