U Electromagnet Optimization
If you start with a U-shaped magnet, a permanent magnet, then what you have is a magnetically 'hard' material. Its permeability will be low, and it will have a retained magnetic field. In the second part of your demo, when you want to drop the things you've picked up, turning off the winding current will not do it, they will stay stuck.

If you pass current through windings on a permanent magnet, then it will slightly increase or slightly decrease the existing field. If you use some serious current, then you might be able to reduce the strength of the magnet permanently. This won't help you a lot, as you'd have to use just as much current to increase the strength again. This is how permanent magnets tend to be made. They are made unmagnetised, then magnetised with a huge pulse of current from a specialist power supply, a pulse to keep the power dissipation down.

You need a soft iron core for an electromagnet. This has high permeability, and will lose almost all of its magnetism when the current is off. A stack of Es from a dismantled Es and Is transformer makes a good magnet core.

The magnetic strength you'll get from any given electromagnet is \$B\propto CopperMass \times \sqrt{power dissipation}\$  

That means, the more copper you use, the less power you need for any given field strength. It doesn't matter whether the wire is thick or thin, 1 or 10 layers. As long as it's wound in the right sort of region, then to first order, these are the only parameters that matter. So ideally, fill all of the winding space available. If you can't find that much copper, then you'll need to use more power than you would have done.