What will affect them,...cold spell?

Iron Wizards are immune to physical attacks, but magic should work just fine. If you've found any items like Ray Guns and Storm Wands, pass one or two along to your Knights and suchlike so that they can help out.

Disintegration was effective, IIRC.

You're going to generally want to be pretty high level to take them out... as PetrusOctavianus said, Disintegration works well but it will fail often if you're not at a decently high level. Iron Wizards have lots of hitpoints so you want really high-damage spells like Disintegration.