The emoji components change the basic view of the pictogram. It's done with the help of the following symbol: Zero Width Joiner. The Unicode number is U+200D. Copy the emoji that you like, add Zero Width Joiner, and choose the component. This way the hair and skin colour will change.
Of course, not every emoji can be modified. You can't make a snowman black (the only option is this people and body.) and a hedgehog bald. The list of emojis available for modification can be found on unicode.org. It's mostly reflected in the section
And yeah, not all programmes support it.