You won't lose anything with custom firmware as far as I'd experienced with my fat PSP. In your case, you'll have to upgrade your PSP from 3.03 OE-A to 3.52 M33-4, and then upgrade to 3.90 M33-2. After that, patch your firmware with the 1.50 add-on files for 1.50 homebrew support.
Emulators...