No, all your files are lost forever 
All you need to do is copy the folder containing all your Dolphin stuff. If you're using any revision past and including 4.0, all your files are saved to the Global Directory, located under "My Documents." Just copy the Dolphin Emulator folder to a flash drive, and then copy it back to "My Documents" once the reformatting is done.
If you're using a version below 3.5-2381, then just copy whatever older you have Dolphin saved in to a folder.
I'm guessing you're finally taking the move up from XP to 7 or 8.1?
All you need to do is copy the folder containing all your Dolphin stuff. If you're using any revision past and including 4.0, all your files are saved to the Global Directory, located under "My Documents." Just copy the Dolphin Emulator folder to a flash drive, and then copy it back to "My Documents" once the reformatting is done.
If you're using a version below 3.5-2381, then just copy whatever older you have Dolphin saved in to a folder.
I'm guessing you're finally taking the move up from XP to 7 or 8.1?