Emu oil is good for your hair, but it won't help your hair loss(by itself). Reason being is because the fatty acids in Emu oil are inactive and will not work even if they were the right fatty acids to block DHT.
Emu oil can be used for hair loss due to it's effective ability to penetrate the skin(unlike most oils which stay on top or only penetrate a few layers). Therefore it is sometimes recommended as a delivery agent for natural DHT blockers.
If you try this method then it's recommended to get Emu Oil that is directly from Australia/NZ(due to better treatment of their Emu's). A recommended brand of Emu oil(Naturals NZ) can be found here
It is good for your skin too. I would recommend it for cosmetic/healing purposes.