The Iron wool begins to glow, which is accompanied by a gain in weight. From being black and slightly shiny, the colour of the Iron wool changes to a blue-black during burning. A new material has to have formed. The Iron wool oxidises into Iron Oxide.
2Fe + O2 -> 2 FeO
4Fe + 3 O2 -> 2 Fe2O3
The increase in weight is due to the reaction of the Iron wool atoms with the Oxygen in the air. The product of this reaction is the heavier Iron Oxide, which has bound the additional Oxygen atoms.