You are correct: all astronomical bodies do exert a force and thus affect 'g', as has been discussed. I work with gravity methods every day, and we have to account for the position of the sun and moon over the course of the day or our measurements will be thrown off quite a bit. The easiest way is to assume the change is linear and periodically go back to a base station with the gravimeter, compute the 'drift' and subtract it out. More sophisticated ways use tide tables to model the effect.
Today's relative gravimeters that we use in exploration geophysics are good to the microGal range. A Gal (after Galileo) is equal to one centimetre/second^2. The average gravitational acceleration on Earth is therefore about 981 Gal, so we're measuring about one part in a billion. For reference, a microGal is about the gravitational force a worm feels from the apple it's crawling over. If you stand over these instruments while they are measuring you can throw them off. However, I digress.
The astronomical bodies affect gravity measurements of g in two ways. 1. the direct attraction from the body itself, and 2. from the affect those bodies have on the Earth. Tides affect the measurement because there's a bunch of mass (due to water) that moves (remember that everything that has mass exerts a gravitational pull). Also, even on solid rock there are tides, and depending on where you are the ground level relative to the centre of mass of Earth can change by as much as a metre. If I remember correctly, gravitational acceleration decreases by about 300 microGal/m as you move away from the surface of the Earth (when you're close to the surface).
And finally, just as commentary, g changes as you move over the surface of the Earth. One, as you are at different elevations (in Denver, g is about 9.79 m/s^2), and two, as you move over denser areas. For example, if you measure g over a dense orebody it will be higher than if you move a kilometre away and measure it off of the body.
What's the practical application of this? Well I just did an experiment where I took a garden gnome (
http://www.gnomeexperiment.com/) and weighed it in Golden, CO (about 5800 feet elevation) and then drove to the top of Mt. Evans (~14300 feet elevation). The 350 gram gnome weighed something like 0.15 grams less at the top of Mt. Evans. That doesn't really have anything to do with your question, but I thought it might be interesting.