the answer to both of your questions is yes. i have snes9x on my cfw (5.00 m33-6) and it works great. there are also many reason to upgrade, including bug fixes, and the ability to use the latest plugins.
updating is quite easy.
- download the 5.00 m33-6 update from here:
Custom Firmware 5.00 M33-6 Released, PSP Hacks - PSP Slim Hacks
- also included in that link is download for official firmware 5.00. you will need to download that as well.
- after both are downloaded and unpacked, rename the ofw 5.00 update 500.PBP, and then place it in the UPDATE folder found in the 5,00 m33-6 installed.
- next, copy the UPDATE folder to your psp, and place it in ms0:\PSP\GAME\UPDATE.
- now all you have to do is run the update, and then your cfw will be updated to 5.00 m33-6!
im not sure if the emulators you have now will still work, but you can download them again from the main site and i am sure they will work. if you download the new versions, just copy your roms from one version to the other, then replace the old with the new. it should be a simple process.
i hope this answers your questions.