It is possible to bring your own frames to Costco. So bring along some of your favorite frames or find a great deal on a new pair from some online retailers, like Warby Parker, or Frames Direct. Keep in mind that you can save money by purchasing several frames for a single person at Costco on the same day.
You can put your prescription lenses in any frame that you want to wear. However, there may be times when the glasses aren't compatible with your prescription. Your eye doctor will let you know if there are any restrictions on the types of frames that will fit you properly.