In principle the concept works. The difficulty, as usual, is in practice. To get some insight, we can do another back of the envelope calculation for how large the amplitude should be from exoplanet sources. Written in conventional units this time,
where [tex]\mu[/tex] is the reduced mass of the planet-star system and [tex]M[/tex] is the total mass. If the mass of the star is much larger than the mass of the planet, then [tex]\mu[/tex] is approximately the planet's mass and [tex]M[/tex] is approximately the star's mass. [tex]R[/tex] is the orbital radius of the planet, and [tex]r[/tex] is the distance of the system from Earth.
Consider a 1 Jovian mass planet in a 0.01AU orbit of a 1 solar mass star at 10pc. This yields a strain of about 10
-24. This seems promising at first glance! It's comparable to the design sensitivity of LIGO and other sensible Earth-based detectors.
The problem? The frequency! LIGO's useful sensitivity range at this strain level is from about 1 to 1000 Hz. But the frequency of gravitational waves from an orbiting exoplanet is
much smaller.
Reframing Kepler's Third law in terms of orbital frequency,
the frequency of gravitational waves (which is twice the orbital frequency) from this planet will be about 10
-5 Hz. Planets in larger, slower orbits will have even lower frequencies.
To get a sensitivity to gravitational waves of this low frequency (and thus larger wavelength), we need longer baseline distances in the interferometer. This points us to a space-based observing platform, like the planned LISA mission. And as it turns out, a lot of researchers have looked into this in great detail. The gravitational waves from individual exoplanets, if detectable, could tell us a lot about the masses and orbits and of planets that we would otherwise not be able to see electromagnetically.
We would have the same bias for low inclination planets as in the eclipsing method (since gravitational waves radiate non-symetrically in this configuration)?
Actually we'll get a bias for high inclination (face-on) orbits. The strongest gravitational wave emission is directed near the axis of rotation, and overall the emission has a pretty complex shape. Here's a good video of the 3D shape of the waves and their effects from a close binary, which will be somewhat similar for an exoplanet. Best part to watch is from about 0:30 to 1:00. Notice the "detector" located directly above the axis of rotation has the greatest stretch and squeeze, but instead of the stretch and squeeze alternating (as it does along the plane of the orbit), here it only rotates.
[youtube]Xn-4N4JZYKA[/youtube]
How we would have to increase sensitivity in order to start detecting nearby exoplanets? Do you think that by the time we have gravitational observatories capable of doing this all the exoplanets of the galaxy would have been detected or there is hope for this new kind of observation to contribute in planetary search?
The best answer I can find for that is from this paper which investigates not just the gravitational waves from planets, but how they add up from all sources in the galaxy (and other galaxies) to form a component of the stochastic background of gravitational wave noise. In particular, see figure 2:
We see that LISA comes tantalizingly close to being able to detect exoplanet signals at the ~10
-4 Hz range. But on the log-log scale, tantalizingly close means two to three orders of magnitude.

We would need an even more sensitive detector than LISA to pick these up -- possibly doable and a challenge for even further generations of space-based interferometers.
Another interesting concept is to use pulsar timing arrays, included in the figure as the PTA curves in blue. These would be more sensitive to lower frequencies around 10
-8 Hz. Unfortunately even these are still not good enough in the strain to pick up exoplanet sources. What they could do is provide upper limits on the stochastic background noise, such as from inflation.
In summary, there's no principle of physics that prevents us from studying exoplanets by gravitational waves, and I was very surprised to find that their amplitudes could be this large. But it's still a tremendous experimental challenge to design detectors with the sensitivity at the required frequencies to pick them up. Finally, with so many exoplanets all over the sky, studying any individual planet in this manner would be difficult because their signals blend together to form a background noise, in addition to the collective noise from other cosmological sources.