Yes. A custom HRTF makes all the difference between "hey this is kinda cool" and "holy guacamole I can locate everything down to a tee".
For basic experiments, put 2 small microphones into your ear canals, hit record, then go for a walk. The result will blow you away :-)
To record your custom HRTF, get an anechoic chamber, put 2 small microphones into your ear canals, then record impulse responses from all directions. Not quite as simple.
Good luck! Post your results here!