Please see this article at inCompliance Magazine for EMC professionals:
It is good to avoid "instant reward" measurements that produce results that mean very little. For example, converting EMI into audio signal would work only if the high-frequency signal has modulation within audible range. Very short spikes (microsecond-long) may or may not get converted into audio.
Make sure that you have valid numeric results - not some ambiguous relative numbers, but absolute values in mV or dBuV. If you are committed to accuracy and relevancy of measurements, it would make sense to invest into professional tools. There are plenty of inexpensive oscilloscopes on the market with FFT which allow you measurements of both time-domain signals and spectrum as well. I use Migsig oscilloscope STO1000 series (https://www.micsig.com/product5/) Hantek has reasonable oscilloscopes as well.
To connect oscilloscope to live power and not blow your oscilloscope's input use EMI Adapter:
There is a whole field in the industry on both measurements of EMI and its mitigation with the tools and methodology that is yet to filter to audio applications...