Mineral Oil from any drug store is effective , soak the iguana first , then coat iguana , make sure to get in all wrinkles, leg joints, due lap etc. Mind you, this makes for a VERY slippery iguana :)
If possible keep iguana in another area for 48 hours, and spend that time spraying the cage and vacuuming the area around the cage.
My vet recommends filling a spray bottle with 91% rubbing alcohol making sure to saturate any cracks or places in the cage they can hide. Remove logs and bedding. Logs can go in the oven at 250 for 30 minutes, wash and dry bedding on high heat.
Bath iguana daily if possible and repeat whole process once a week til you are sure they are gone.
Do not place iguana in cage if the odor of alcohol is still present .