You could. I have to say, I would not. You know how when you're doing a water change, sometimes the siphon stops working for whatever reason?? The same thing can happen to those siphon-style overflow boxes. A snail, an air leak, a big air bubble.. any of those things can break the siphon. If they do, the water stops draining out of your tank into the sump. Your return pump does not stop though, so you can overflow your tank pretty bad and burn up your return pump.
I'm new myself and am not an expert, but I think you'll find that most people will steer you away from a siphon overflow, especially if you're buying and setting up a new system. Whatever you might pay to have it done for you will be well worth it. That 40g tank will weigh close to 400lbs... about 200 even mostly drained. You really want to set it up once and be happy with it.