There are many ways to help an iguana shed. Picking any loose skin off is a good idea and it is sometimes necessary. When picking or pulling off loose skin, it's important to be very careful and not pull or tear any skin that is being stubborn. If it doesn't come off with little or no effort, it's not ready to be shed. Some areas of skin, such as the spines, toes, eyelids and other areas may need help, and aiding in the removal of these areas can be helpful as well as healthy.
Lubricants can be helpful in aiding the shedding process.
Applying a small amount approved lubricant and rubbing it on any stubborn areas of skin is very effective. This can be done once to a few times a day until the stubborn area sloughs off. Reptile Skin Shedding by Melissa Kaplan is a very good page that tells all about how to deal with the shedding process with iguanas and other reptiles as well.