The 9mm conversion is possible, with two important notes.
1) you must buy an aftermarket conversion barrel, not a GLOCK OEM 9mm barrel. The outside diameter of the barrel is smaller than the .40. This is not the case with the .40 and .357, which swap right out.
2) you should buy a 9mm magazine. The .40 mag will work sometimes, but the feed lips are wider, and it can double feed. New mags are less than $20.
It is sometimes alleged you need a new extractor and ejector. I have conversions for my G23 and G35, have not replaced these parts, and have had zero problems. You will know immediately if you need a new ejector, as a small percentage of .40's firing 9mm will throw the brass back at you. If this does not happen immediately you are fine. As to the extractor, some say the slightly different design causes stress, and it may break. As far as I can tell this is hypothetical, there has not been a single documented case.