By a popular request here is my take in the Coldheat device. It works! And it doesn’t suck like some people say. A friend for mine got one at RadioShack when they were GIVING THEM OUT! with a $20 purchase. Being just short of the goal, he purchased AA batteries for the Coldheat to push the amount over. At anyrate it is pretty amazing. It appers to work by conducting electricity through the solder thus heating it to the melting point. So the tip never gets hot persay. However you could get burned by the molten solder pretty easy as a result.
Is this useful for circuit bending? Possibly. If you are working with larger wires and don’t need to melt anything other then solder. Smaller tips are also avaliable. Is it worth $49 for the Ver2? probably not. Would I pay $5 for Ver1, maybe. Also consider conducting current through delicate IC pins, this can potentially false trigger a bend or crash the device.
Is it good to have one in your gig bag incase you have to fix your keyboard while playing a show? Definatelly.