Just some corrections here, smithy.
EMFs are created by all electrical devices or electrical wires. This is because electrons 'escape' from their primary conduit.
Nice analogy but that's not how it is. Electrons themselves have a small magnetic field - electricity and magnetism are the same thing. When charge flows through a conductor (and only charge, the electrons themselves don't move), a magnetic field is generated at a perpendicular angle. Electromagnetic force itself is carried by photons, not electrons. Electrons can't penetrate out of the cable, and they're not moving along it anyway. Only their charge is.
The one commonly accepted by scientists is that because the field is negatively charged it attracts Radon gas particles, which are positively charged. Radon gas is the nucleus of a Helium molecule, and is commonly referred to as ionising alpha radiation.
You're thinking of an alpha particle. Radon is a heavy element, a noble gas in the same group as helium. It isn't charged (and isn't likely to become charged, as it has it has a huge ionisation energy), but it is radioactive, and gives off alpha radiation, the most ionising but least penetrative type. As it decays into something else the product becomes periodically charged and is attracted to magnetic fields. Radon leeches out of most igneous rocks, especially granite. Aberdeen, the "granite city" has a background radiation level twice the norm.
EMFs consist of free electrons moving near to the speed of light. This kind of radiation is known as ionising beta radiation.
They don't, they exist as photons at the speed of light. Beta radiation is totally different and can be stopped by half a millimeter of aluminium. A magnetic field is practically infinite in range and to my knowledge will "pass through" anything.