Pellet guns do work but you don't want every idiot with a pellet gun shooting randomly and in most urban areas it is illegal.
The problem for most people after they catch one is, now what do I do. There is no place to take it.
I rarely use bait. My seawall is an iguana highway and they prefer to stay on the highway. They walt into a trap like it's not even there. My latest trap is a long net on the highway and I've captured 15 at a time in under 10 minutes. in the morning it's like an iguana train going for breakfast. Easy.
There is no money for government to do anything and no butcher will touch them.