I use a heat gun, but either one should work. With the iron, you need to be careful not to iron in any wrinkles. Just let the iron "float" above the covering with little or no downward pressure.

Don't be alarmed when using the heat gun, if the bubbles initially get bigger. They will often grow on initial heat, but then the covering shrinks and they disappear. Be careful around seams because sometimes they don't leave a lot of overlap on the ARF's, and if you shrink too much, you'll expose some wood.