I posted this exact thread not too long ago, wanting to go from Roger's Park to Kenosha up Sheridan. Basically the answer was yes, it is possible (getting off Sheridan and onto Green Bay for a while), but not very fun. Bad roads, bad neighborhoods...
Check out the
VCR team website and look at the Hwy 50 ride. It takes you from the north suburbs to Kenosha on some fairly decent roads. To get to the starting point you can pretty much use Sheridan and Green Bay roads, or the bike paths (there's a description of how to do it all on bike paths somewhere, cant find it right now).