Calculating Efficiency of a circuit
Efficiency for power supplies is most meaningful at full-rated load. Without a load, the output power is zero and therefore efficiency is meaningless. If you look at the data sheets of a lot of switching converters they'll show graphs of efficiencies versus various loads but they will never really small or zero power loads BUT they will always show full-load power efficiency.


  Also when you make a circuit what are the major tests you need to
  perform and check? I mean like efficiency test, thermal test, Emc
  test, etc.


For a power supply, efficiency is important for a lot of designs and I always run a regulator circuit at full load at elevated temperatures (above what it can be expected to see) because, with little doubt or uncertainty, the most common failure of components is in power supplies. EMC can mean many things and I think that unless you are designing a power supply to be sold as a power supply, EMC testing would be done on the whole product.

I would also look for ripple voltage problems and instability issues on various loads.