from chempics
The reaction occurred is just the oxidation (redox reaction) of iron
4Fe + 3O2 = 2 Fe2O3 plus lots of energy
Iron need to be very fine divided (wool) to allow the combustion keep going (the activation energy burn iron is really high in comparison to other combustible materials as gasoline, wood or carbon) and as Fe2O3 is a solid (a normal burn, for instance of a piece of carbon, releases CO2 gas) the combustion result is heavier...
very nice experiment!!