According to Wikipedia;
The body of the tool contains a transformer with a primary winding connected to mains electricity when the trigger is pressed, and a single-turn secondary winding of thick copper with very low resistance. A soldering tip, made of a loop of thinner copper wire, is secured to the end of the transformer secondary by screws, completing the secondary circuit. ... Since the tip has a much higher resistance than the rest of the tubular copper winding, the tip gets very hot while the remainder of the secondary warms much less.
So basically, it uses copper as a heating element. The only reason the "heating element" part has a higher resistance than the rest of the copper wire is because it's thinner.
So I guess they must be made like either of the bottom two in this picture. I figure that they must be iron plated like soldering iron tips, as I don't see why they would be any different.
But this must be quite inefficient, especially considering how easily it can be improved. There must be quite a significant amount of heat generated in the wrong places, given that the "heating element" is the same material as the "conductor". The transformers appear quite small for what's surely a very high current, which would make this more of a problem.
Another thing I see (for some tips, in the style pictured) is that the shape of the tip is too wide to have much relative resistance (if it's made of the same material), so it must rely on heat conducted from the thin wires attached to it.
So wouldn't it be better if the tip had a bit of solid iron in the current path (like the top one in the image)? If that's too hard to manufacture, than how-about brass? Even cheaper, why not make the entire tip piece out of brass? These would surely all be more efficient, with the heat concentrated in the right place, and be easier on the transformer (which means a smaller, lighter transformer can be used).