Hi Thomasz, I haven't tried it but I suppose it's an idea if you want to be different. For me I would think about any loss of volume and sustain with the absents of a solid anchor point like a fret. Levelling the wire frets is a consideration too, but you may be all over that as you are used to using this type of material.
not music wire but i used split pins for frets on my first build. here is a link to what i did..
Bailing wire.,.,used on the farm.,.,seems like it would be pliable enough and hard enough, and you could probably level it too.,.,I have not tried music wire.,,.