It came up in Dresden Files, but is not limited to that game, you can find the term in DnD as well. I would like to know what it means. 

If you look for Cold Iron on Wikipedia, you only get iron: 
"Cold iron is a poetic and archaic term for iron."
This would imply everything made mostly from Fe is cold iron. Clearly, this is not the case, in every game Cold Iron is something special, the every day sword is not made out of it. 

The Dresden Files rulebook is not very specific about it:


  something that anyone could reasonably get access to, but usually doesn’t carry on them (like cold iron) page 185.


What is cold iron?
How do I create cold iron?
How do I get cold iron?   

To make the question easier to understand, compare Cold Iron to Holy Water. You know how it is different from usual Water, you know how you get it or create it. 


Question: should have done vs should had done (sequence of tenses)
Answer: "should had done" is never correct.  

Go with "should have done".