I haven't tried it, but the instructions say:
Audacity supports almost all VST effect plug-ins on Windows, Mac OS X and Linux including "shell" VST's that host multiple VST effects.
To install new VST effects, place them in the "Plug-Ins" folder inside the Audacity installation folder. On Windows, this is usually under Program Files (or Program Files (x86) on 64-bit Windows). On Mac OS X, it is usually in the "/Applications" folder. On Linux, you must add a "plug-ins" folder to /usr/bin/ (if you installed a packaged version of Audacity) or to /usr/local/bin (if you installed a self-compiled version of Audacity). VST effects will also be found if they are added to (or already exist in) various system or user locations.
You can install new VST effects into Audacity by using the Effect > Add / Remove Plug-ins... menu item. This opens the Plug-in Manager: Effects, Generators and Analyzers dialog where you can select and enable the new effects then click OK to load them. Next time you launch Audacity the enabled effect(s) will be cached and you won't need to re-enable them.
http://manual.audacityteam.org/o/man/faq_installation_and_plug_ins.html#How_do_I_install_VST_plug-ins.3F