Wrought iron is really fun stuff to work with, but there are some significant differences between how wrought iron and steel behave. Certainly wrought iron quality and characteristics vary widely, most especially depending on the degree of refining of the metal. Coarse or unrefined puddled wrought iron has large slag streaks that tend to cause problems when trying to make little pieces from it. Refined wrought iron act much more homogeneous as the slag streaks are much thinner and more numerous. If you wish to make small parts, try to find the refined stuff or you will get frustrated.
Coarse wrought iron shows obvious slag streaks after filing the surface with a rough bastard cut file - good for big pieces like lockplates, sideplates, buttplates. Refined wrought iron requires a better surface finish to see the slag, like 220 grit polish - good for tumblers, sears, screws. I have a piece that didn't show streaks until etched with muriatic acid (I guard this piece so keep your hands off). However, for really tiny parts like that #4 screw that holds the wood patchbox spring, I still use leaded steel. Coarse wrought is alright for making barrels, but if you rifle a coarse wrought iron barrel the rifle cutter will tend to give an irregular cut as it passes over a slag streak.
Wrought iron is much more ductile than steel which probably has resulted in the pocket knife thing. Check out the tutorial on making wrought iron wood screws to see how very ductile the stuff is.
Jim Everett