Could you set up massive pendulums to convert this gravitational wave energy into mechanical energy? Would such a device diminish the strength of the wave downstream?
Yes! In principle at least, and only miniscule/undetectable amounts of energy. The first gravitational wave detectors build were these "Weber bars" [1] - big block of aluminum that were supposed to resonant mechanically (like a bell) when a gravitation wave of the right frequency passed through them.
Looks like these things haven't detected a real gravitational wave, but if a strong enough one at the right frequency came through, they might start ringing like (very quiet) bells!
