Do what you wish and follow your first aid training, but I believe iodine is no longer recommended for wound disinfection. Are you referring to tincture of iodine (no!)or povidone-iodine?

I don't know about treatment but I will say I had a horsefly bite one time that was worse than any sting I've ever had save a hornet's. Those little monsters can hurt!

I am just wondering what does an average person would do when he/she finds out about horse fly bite. I saw huge puss on youtube that resulted from horse fly bite.

it scares me to see the gigantic puss.

-Blast

What about Dermatovia Hominis (human botfly), once you've medically extracted that larvae from under your scalp or skin you'll have a big hunk of tasty fish bait.

www.youtube.com/watch?v=2P3yPWqKTjo

YMMV, but I would treat it like any other open wound. Lots of soap and water, flush it out thoroughly, sterilize if you think it necessary, bandage, and monitor for signs of infection. If you suspect a problem, see a physician asap.