Bah. All too technological. Cold Iron gets its name in a lot of game systems because it feels cold to the people who are vulnerable to it–it is the metal of cold, final death. It has nothing to do with the chemical or metallurgical makeup of it. In DragonQuest, the abandoned game system, steel and wrought iron were both Cold Iron. They were rendered non-Cold by being alloyed with silver, gold, or mithril (spellcasters who tried to cast spells whilst wearing Cold Iron received a 15% penalty on their cast chance; silvered iron got a 10%, gilded got 5%, and truesilvered had no penalty).
In case somebody wants to pursue the industrial process rather than the mythological / gaming references, here’s some blurbs on cold forging and the benefits thereof, apparently by some British trade association of cold forgers:
Wikket (among others) got it right here. The term is not made up. I suppose that, if the term is used in D&D, it was chosen simply because it sounds cool, but it’s still a real industrial process. From this site: