Hi Mike,
I have used heat lock in the past with just as good results as cold glue methods.
The main thing with heat lock is the type of veneer you use..a raw veneer with no backing is harder to deal with. Due the fact that you must apply the liquid glue to both the veneer and the wood surface and let it dry tacky. During drying the veneer will curl along the longitudinal lines of the grain, especially in the case of seamed pieces taped together to form a larger sheet. Also be careful as you apply the veneer to the surface that you get it down flat, no slight warp or crease, which will cause a bubble or warp further down the work surface.
Using paper backed veneer relieves these issues also does wood backed veneer, which is a veneer with a backing veneer glued together with the grains 90 degrees to each other very strong and durable but tough to go around steep curved corners.
As far as steam..I always set it on a higher setting no steam(water drained from iron)and put a thin cotton material down between the iron and the work surface.
Also it is difficult to get a thin even coat, use a veneer application roller..too thick and you have points where the glue underneath is still wet and will not adhere well to the wood. Greg