It'll be a lot of work.
In Linux, it could be done by carving out an EFI System Partition (ESP) on the disk, installing any of several EFI boot loaders on that partition, and reconfiguring the firmware to boot in EFI mode. For some firmware, you might need to convert from MBR to GPT and/or remove all traces of a BIOS boot loader, but some firmware implementations don't require this.
It gets harder in Windows, since Windows requires jumping through additional hoops to switch from BIOS-mode to EFI-mode booting. Some of those might be required by your firmware even when booting Linux, though, like the MBR-to-GPT conversion.
In sum, unless you're re-installing everything, this will involve a lot of work on a dual-boot system, with very little practical benefit. You'll also be risking total loss of all the data on your hard disk. Thus, I can't really advise this except as a learning exercise, and then only if your data aren't important.