While creation of energy violates the laws of conservation energy, your assertion does not seem to be plausible. Additionally, I am not sure what do you mean when you say "creates"? De novo creation is, as of now, considered to be impossible.
However, since you asked that we generate electrical waves, you assume we create them. It is more like converting the electrochmeical gradient across the various membranes of our cells into what you call brain waves (which are mostly electrical in nature). This electrochemical gradient is created at the expense of the ATPs which we derive from the food we eat. Hence it is most of the chemical and electrochemical inter-conversions that you think of creation.
Thanks Muneeb, actually my prime question is, who we are (consciousness), matter or energy. since only living beings exert and control brain waves along with other brain functions and pain receptors (which our mind does not have). we must be a form of energy (separate entity from body) sitting in the brain.
because i can transplant all parts of my body yet the personality will remain.
It is not only emitting, it is consuming also. SO the answer to your question is "NO". In subtle sense temperature of the environment varies by virtue of the energy state of anything present and not only brain. People from eastern countries have a tendency to sensationalize and metaphysicalize things that don't necessarily belong to this realm.