D_O_J is being somewhat overly cautious.... if you had a support boat you'd be laughing.
You could definitely do it in a small yacht / dinghy, no major issues there, but I would say it would need to be something that won't fill with water to make it easier.
Laser II, B14, any form of Catamaran
, Tasar maybe. Catamaran
would be the best option; something fast - has been done as per above link from Sydney
It's a damn long way but not impossible!
It wouldn't have to be non-stop and there are definitely places to stop on the way for rest and shelter.
I would have attempted that trip in my youth but never really thought much about it. I had the yacht that was capable of it, the B14.
I was down off Wilsons prom over Christmas
, brilliant weather
, it certainly can be pucture perfect for sailing, but can get rough. That's why we have weather