You actually cannot do that. Grimmy is a special case Service Sim with a unique life state (occult) and such actions would be blocked by the game's core programming as it would tend to break everything. The same is true for the other sim who is in this class, the ITF Time Traveler. Although not the same thing, it used to be that players found ways to make babies with Grimmy (not sure that ever really worked well) but EA blocked that as well with one of the very early patches.
Having said that, if you have the Door of Life and Death store premium object from Grim's Ghastly Manor, the sim who looks like the Grim Reaper who "staffs" the door is really a Role Sim and an imposter, not the real Grim Reaper. That one might provide a bit more flexibility although it's possible that EA blocked such actions on him as well or changes him into more of a regular sim without the Reaperlike appearance if this is attempted. I don't have that set so I can't test anything out on him, but I also don't recall anyone reporting that they have done this.
