Some one I know says you cannot enchant an already made sword, is this true? On a secconed note could I remove a blade of a sword and put a cold iron blade in without loosing enchantments? If not could I dip the blade into molten cold iron to make it a cold iron blade?
In order to enchant a sword it has to be of masterwork quality, if it is you can enchant it.
Now if you mean making of another material (adamantine, cold iron etc.), no i don't think that you can do that (i think that alcemical silver is an exception).
Adding enchantments to already made masterwork weapons is perfectly legal. Adding enchantments to already magical items is also legal (just requires a little math).
Changing the blades out on swords while keeping all the enchantments? Not legal. You can't just take a sword that is already enchanted and do something to change what material it is made from (there are some magical abilities, alchemical substances, and spells that TEMPORARILY do this, tho).
Also, giving a weapon a +3 enhancement to hit/damage makes it overcome DR X/silver and DR X/cold iron. Making it a +4 overcomes DR X/adamantine. Going to a +5 overcomes DR X/alignment.