Are toroid chokes lossy? Are they good for winding inductors?
There are various formulations of "ferrite" with different properties.  Some are deliberately intended to absorb energy, like ferrite tiles.  Something intended to be common mode filter may be made out of more lossy material, even if most of its AC blocking properties come from the series inductance it adds to a line.

Without a spec for the ferrite material you have, there is no way to know without actually measuring it.  Unfortunately, measuring power loss in inductors is not as simple as other measurements where you simply put a meter to the device.  One way to measure loss is to put a high frequency sine wave accross the inductor and measure the phase angle between the voltage and current.  For a ideal inductor, these will be 90&deg; apart.  For a ideal resistor, they would be 0&deg; apart.  A lossy inductor will be somewhere in between.  From the phase angle you can calculate the power dissipated by the inductor.  This will vary with frequency and go up more steeply near the end of the core material's useful frequency range.