Steel cores have losses due to induced currents that circulate within the steel. These currents produce heat, weaken the magnetic field and thus waste energe. The loss of energy increases with frequency.
There are special kinds of steel (weakly magnetic) for transformers, but they do not reduce the losses. For low frequencies, say 50/60 hertz, this is ok; all commercial transformers for line powering are built that way.
If you go to higher frequencies (ie above 100 Hz) these losses become significant.
In ferrite material, there are ferrous and other oxides used as magnetic material. They are non conductors, so there can't flow any current - no losses. But ferrites are difficult to get in shape - you can't bend or weld them, so transformers are built form premanufactured parts - coil kits.
This is at least what I learned about these thingies.
If in doubt, always obey the manufacturers recommendations for frequency range, wattage and number of turns. Otherwise, the results will transform some energy - voltage and current - anyway, hut the losses increase.
Also notice that the inner windings of a coil usually burn first as they do not get much cooling - wrong operating parameters worsen the effect.
For winding crude transformers myself, I attach the ferrites to a battery driven screw driver, and count the turns with an old (mechanical) bicycle tachymeter. Just be quick with laying the windings side by side