Something is not clear. The coil is the primary of a RF transformer. When you put a iron nail in the hole, the nail acts like the secondary. It produces eddy current, hysteresis etc. That causes the heating.
The whole energy is concentrated onto the sample. You need not do anything else to focus the energy.
If it is working well for magnetic materials, the major cause of heating is hysteresis. If it is working for other materials well, then the eddy current is the cause of heating.