I know it can be done, and I use to have it set up on my site(s).
It's a plugin developed by InteractiveTools.
It worked well for me until I added more custom plugins, then it began to give me trouble. I eventually had to disabled it because there were some conflicts with my custom plugins. Maybe InteractiveTools has a newer version that fixes the issues I had and I'd definitely be interested in finding out if there's a newer version that works well with my installs and custom plugins.
Here's the plugin name:
Plugin Name: In-place Related Record Edits
Description: Update related records on main record edit page
Requires at least: 2.06