I have some of the Old Globe Grain Elevator wrought, it is pretty nice stuff.
Work it at welding heats. Trying to shape it at only red will cause splits and cracks.
If machining a part, pre-shape as above to close to finish size and shape ,then mill, grind, etc.
Sand to 400 grit and etch. Re-sand and re-etch as desired for the grainy look.
As with any process that involves a material with a grain, consider the direction of the grain in using it. If a pin is made from it along the grain, the end will show minute end grain stippling, if the pin was made across the grain, it would show a striped grain.
The best method would be to cut strips along the grain, and then forge them into round rods. These could be ground or turned into pins. Frankly, a piece of round soft iron rod or wire would look nearly identical. The nails from the elevator would also be good sources for pins stock.
I have not done it, so I might be wrong, but turning wrought iron seems like trouble to me. Grinding is far better.
Also, use sharp drills and belts to avoid "tearing" the grain.