“Cold iron” historically is just a poetic way of saying “iron.” Worked iron (including steel) is traditionally something that the fairy folk shy away from, and many fantasy works have embraced this—but each does it their own way.
The Dresden Files universe is a very practical and down-to-earth place when it comes to magical reagents. In a world where magic is about faith and effort, where ritual is just a convenient way to focus one's will, you don't have to do anything in particular to make iron nasty for the fey. Iron and fairies just don't mix: pretty much any iron/steel will make the fey folk unhappy. (By contrast D&D 3.5 says cold iron is special stuff, defined both by where it’s mined and how it’s forged. We could speculate about whether that's more due to flavour or balance, but I digress.)
The very presence of iron in any form is uncomfortable for Dresden Files fey, and bringing steel into a fey demesne is profane, but most people don’t casually carry enough iron to be a convenient weapon against the fey. Wounds inflicted on fairies by iron weapons—including nails, boxcutters, and steel-jacketed bullets—are slow to heal, and are spiritual as well as physical. You could also try hitting one with your car, or using a staple gun--neither of which are designed for precision violence.
If this seems imbalanced, well. It is. DFRPG is more narratively balanced than it is mechanically. Since fey find iron so offensive, they go on the offensive when confronted with it. Possessing an iron weapon has major drawbacks in a fey-heavy campaign, because it makes you a target for suspicion and possibly pre-emptive elimination. But--remember that your average handgun bullets don't have steel jackets.
…the fairies are very glad we’re using so much more plastic these days.
(There is also a real-world forging technique called “cold forging.” It means the metal wasn’t heated as much as many techniques call for, and the resulting piece has different qualities of hardness than a hot-forged piece. This is irrelevant to DFRPG’s definition of cold iron, though other settings sometimes mean this when they talk about “cold iron.”)