You basically have two questions here. First, is stair-climbing good for weight loss? Honestly, not much. This document calculates about .17 calories burned per step going up and .05 going down. If you assume that you're taking 1 step every second and continuously doing so for an hour, that's about 1800 steps up and 1800 steps down. That comes out to about 396 calories burned, or a bit more than the calories in a cheeseburger or about 150 calories more than walking the same amount of time. Frankly, exercise is a lousy way to lose weight. You're better off reducing the amount of calories you take in. That said, it will be helping to get you in better shape.
As regards the knee pain, any form of exercise can cause injury, and repeating the same motion over and over again, as with stair-climbing, can cause injury through over-use. Your best bet is to scale back a bit and see if the pain gets better or worse. If the pain gets bad, or doesn't go away, see a doctor.