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I am mostly wondering if the Iron Warriors control a forge world, and if there is anything in any of the books about one.

I am also curious as to if any worlds within the Eye of Terror are considered forge worlds, or if they just have demon worlds with demon forges.

The planet in Ultramarines 3 certainly qualifies as a forge world. Menengrad I think it was?

Medrengard. It's the Iron Warriors' fortress world, and definitely has the industrial capacity to act as a forge world.

There are dark mechanicus forgeworlds out there. Xana is one of the named ones (notable for building the Hellblade/Hell Talon fighters), as is Samech, and The Hollows (A weird-ass world with two massive forges - one at each pole - and the equator of the world largely eaten away like an apple-core from so much mining.... because it's the warp and screw physics).

The Iron Warrior home world is easily capable of supporting and maintaining then in war.

Chaos has too. Its under mentioned but cannot be in a near permanent State of war minus logistics.
They built ships like the planet killer. Even in warp. You need a fprgeworld for that.

The Word Bearers have one in the Maelstrom if I'm not mistaken, Ghalmek.
Ships aren't built on forgeworlds though, they're built in orbital shipyards but yes they clearly have them in the Eye. Remember that a sizeable chunk of the Mechanicum went traitor and so probably fled their with their considerable fleet assets and set up shop somewhere.

You normally need some form of heavy industry to supply parts for ships however. If not round but near.

You need to work armour plate, fabricate components and such.
Even chaos needs industry and logistics

Cannot exist on loot and relics forever

Chaos has plenty of forgeworlds, and not all of them need to abid to the laws of physics.

Many of them are run by the dark mechanicum, and will happily trade slaves and various supplies in exchange for arms and more exotic things.

Or they might give you a daemon weapon, just to see if it works.