I'd allow someone to change the material properties of their weapon - but they'd have to work for it, and it probably couldn't be from one special material to another (ie cold iron to silver).
Here's my idea, based loosely on some concepts i garnered from Neal Stephensons Quicksilver, in which it is stated as a known fact that special metals (such as gold, silver, etc.) are made when the light from certain planets pass through the earth. Now, since this is a known fact (or at the very least can be learned with some good footwork in a library or talking to scholars), the player can learn about someone who has learned how to focus such light (or maybe something else, you decide - it's your world) so that he can change the properties of "base" metals (yeah, yeah, i know, steel isn't a base metal, but stay with me) into something else, provided he knows what light to focus on it.
So - the players have 1) a way with which to upgrade their weapons and 2) the name of a person that knows how to do it. Now, being the kind of DM I am, there would be an adventure set up around finding this person because, hey, mad scientists types wander the world looking for new stuff (and also getting run out of town for blowing something up).
Just my two cents.