Hi,
Yes, you need very soft iron to keep residual magnetism at bay (a stack of mains transformer core plates stacked will do - "glue" them together with lacquer and let dry under pressure).
To use your steel core, glue some rubber or plastic sheet (an inner tube should be fine, or a couple of layers of duct tape) on the ends that touches the thing you wanna lift, to weaken the holding force considerably when power's not applied.