Ferrite is a nightmare for almost every ordinary manufacturing process except sintering, which is how ferrite cores are generally made. It's too hard to turn. If you get a tool point to bite, the ferrite will shatter. If you grind ferrite it will quickly clog your grinding wheel.
The shape of an inductor is often an important consideration, especially if you want to focus magnetic flux to increase flux density. For this reason, complex shaped sintered ferrite coil formers are very popular. There are some frequency response reasons too, but I think the ease of manufacture for complex shapes by sintering is the commercial driver for ferrite use.
The frequency response stuff is important because you might need to control the relative permeability of the material at specific frequencies, to improve the Q factor of inductors for filter circuits. Because sintering is based on powder metallurgy, it is easy to accurately introduce impurities which support frequency selectivity.
For ordinary turning, filing, and general working, soft iron (Fe – 0% carbon) is an excellent magnetic material. It is often better than ferrite, in the sense that it often has a higher relative permeability.
Don't use steel, or cast iron. Both are poor magnetic materials, unless you want a permanent magnet. The carbon impurities and other alloying elements lock the magnetic domains down. You can magnetise steel and cast iron electrically, but it has remnance and a non-linear B/H curve. You either have to heat treat it to release the remnance, or electrically demagnetise it.
If you actually want a permanent magnet, then you can use ordinary carbon steels (like silver steel). All you have to do is to figure out how to harden it (as hard as you can get) whilst it is under the influence of an external magnetic field. As the material falls below the curie point the field is frozen into the object. You can use this scheme to produce odd shaped magnets, but odd shaped magnetic fields.
Generally the harder the material the better the magnet. Obviously modern rare earth magnets use exotic materials.
Edited By Andy Ash on 27/12/2013 15:01:21