I have never done this. But it can be done.
Although transforming base metals like lead into precious metals, specifically gold, was a goal of early alchemists, it is not actually chemistry. Chemistry deals with combinations of atoms, not with changing one element into another.
Transmuting elements is part of a branch of physics that deals with elemental particles. Transmutation (converting one element, such as mercury, into another, such as gold) occurs naturally. All of the elements heavier than lithium were created in stars by transmutation.
Nitrogen in the upper atmosphere is transmuted into radioactive carbon-14 by neutrons created when cosmic rays strike the upper atmosphere. The carbon-14 later decays back into nitrogen.
The first realization that transmutation was taking place occurred in 1901, when Earnest Rutherford and Frederick Soddy found that thorium was decaying into radium. Later, in 1917, Rutherford was able to transmute nitrogen into oxygen by bombarding it with helium nuclei (called alpha particles).
Making gold from other metals would be more expensive than buying gold that was mined from the ground. But when absolutely pure gold is needed, it may be cheaper to create gold from mercury (by bombarding it with gamma rays) than to try to extract the copper and silver impurities often found in natural gold.
Going in the other direction, making pure mercury from gold is also useful, as the pure mercury can be used to make a kind of light source that is very pure.