Instructables just posted an awesome DIY Cold Heat Soldering Iron project. If you haven’t heard of these irons, they use the heat caused by electrical resistance to heat the work directly, rather than heating the iron. I think I actually happen to have everything required for the project lying around the house, and unlike the original, there are no batteries to replace. It runs off of an old computer power supply.
I think the only thing I see that I would change for my first attempt is the conductor for the tip. I’d switch out the mechanical pencil lead for carpenter pencil lead. It is wide and flat, and much stronger. It would likely heat less at the copper connections and could be sharpened to near any tip shape. How to get the graphite out of the pencil? Throw it in the fireplace. They use the stuff in cooling rods for nuclear reactors, I hardly think a little fire will hurt it.
Or, if you are too lazy to build your own, get the original ColdHeat soldering iron here.