My guess is that you'd lose some of the energy as heat every time you tried to convert it into mass.
I would expect most of the loss to take place in the collection stage, but short of antimatter, a perfect energy-mass conversion technique doesn't seem to be available, so there are probably plenty of waste particles when it's converted to energy as well.
(The parent was at -4 when I found it. When I expanded the comment to read it, I was extremely confused, because it did not fall into my "LW users will downvote this heavily" pattern. ??? )
This is a thread where people can ask questions that they would ordinarily feel embarrassed for not knowing the answer to. The previous "stupid" questions thread is at almost 500 questions in about a month, so I think it's time for a new one.
Also, I have a new "stupid" question.