No. The types of crystals advertised as "EMF blocking" are typically inert minerals which basically have no EM-field by themselves (not magnetic and having no net charge). There is nothing stopping EM waves from reaching your body just because there is some tiny crystal on your neck or wrist or so on. Like you said you would need a sizable shield of crystal to block EM waves and at that point the fact that it is crystal would probably make it worse at doing so, compared to metal or some other conductor.
In general, electromagnetic fields obey Maxwell's equations, and electromagnetic waves obey the wave equation. If there is some EM field at some region of space, in order for that field to vanish, there must be some other EM field generated to cancel the first field. In general, crystals do not generate such fields.
You can read more about the pseudoscientific and debunked properties of crystals on Wikipedia. In a similar vein, this site details the myths surrounding "crystal power."