On the possibility of steel nails as EMI filters
I thought steel has a very high iron loss especially at high
  frequencies. So is it possible at least theoretically to use hard
  steel nails to attenuate high frequency noise in say power supplies?


No, not really. A ferrite bead (for instance) relies on the outer ferrite material (not the through-going wire) being both a poor electrical conductor at low frequencies but, at high frequencies, becoming a lossy capacitor and capable of turning EMI into heat. Here are a few examples from Murata: -



As you should be able to see, FBs are designed to target a specific range of frequencies and, different values in the same model range can be chosen to give better attenuation at certain parts of the spectrum whilst maintaining reasonably low losses for signals that should not be significantly attenuated.


  I live in a place where ferrite beads for emi suppression is hard to
  get


A nail doesn't have one of the vital characteristics of ferrite that make it very useful as an attenuator namely; that it acts as a lossy capacitor as frequency gets higher and therefore resonates with the parallel inductance of the through-going wire. 

There is a good document from Analog Devices that explains things in more detail and that document shows the developed model for a Tyco Electronics BMB2A1000LN2: -



R1 and C1 represent the lossy dielectric of the ferrite material and you just won't get that with a regular piece of iron or a nail. In case anyone notices the typo in the ADI picture above (L1 = 1.208 uF) should read 1.208 uH thus producing a peak resonance at around 112 MHz.