Iron wire as DC Power Filter
If we ignore capacitance, inductance, transmission line effects, etc...

The skin-depth is proportional to square root of the reciprocal of the frequency ratio, 0.3162 per decade, or -10 dB per decade. The conductance is proportional to the skin-depth cross-section. 

On the graph below, the frequency is normalized, 1 is where the skin-depth is equal to the radius. the softness near the corner is because the cross-section is radius squared, not because of phase. Far from the corner the cross-section is approximately proportional to the skin-depth.

Conclusion: It is a lousy filter, the falloff is half as much as a traditional first order filter. Changing the frequency requires a physical (radius) change. Iron will rust. There are no advantages that I can think of.