Sending identification signal with IR or RF
Is there any way to build a device capable of sending an ID signal
  with IR or RF?


Most (if not all) radio systems communicate using exclusive addresses (identification) in each stream of data. This is commonplace and I'm sure the same is true of IR communication.

It's a must for these types of system so yes, building a device capable of this is not only possible (or desirable) but a necessity.

These methods tend to be done by digital encoding and not so much by allocating frequencies because a lot of these types of system share a common "channel". Time is shared and an example of this is called master-slave. A master allocates time slots for each slave to communicate but, each slave will likely still embed their slave address (or ID) into each transmission.

There are many, many possibilities.