We do not have emoji built into WhatsApp for iPhone. However, emoji support is built into the iPhone by using the Emoji Keyboard. Go to iPhone Settings > General > Keyboard > Keyboards > Add New Keyboard, then select Emoji.
Once the Emoji keyboard is enabled, you can access it by tapping the globe icon in the bottom left corner of the keyboard.
Note: Apple regularly introduces new emoji with new iOS versions. Please make sure you use the latest iOS version to have access to the latest emoji. Instructions for upgrading your phone's software can be found here.