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Are you asserting that a lump of iron (matter) is conscious?

In the same way that I would say a lump of iron is magnetic or has gravity. The characteristic is there but at low levels relative to other factors. But align the iron atoms and the magnetic properties begin to dominate. Increase the mass and you increase the influence of gravity. Arrange the material with appropriate complexity and the impact of consciousness becomes more noticeable.

In any case, it is interesting that you bring up iron. John Conway is a professor of mathematics at Princeton University and one of the authors of the Free Will Theorem. He made this statement in an interview:

"...The spin of an electron combined with its electric charge means that it behaves like a little magnet. In some metals the electron spins all point in opposite directions and their magnetic fields cancel out. "But in a ferromagnetic material, the cancellation isn’t as good as it usually is," says Conway. "If the magnet is 51% of the electrons pointing one way to 49% pointing the other, although it very nearly cancels, it’s a very strong magnet."

Conway believes that the free will decisions of particles in most objects, like tables and chairs, or even parts of our bodies such as our arms and legs, cancel out in a similar way to the cancellation of the magnetic fields of electrons in nonmagnetic materials. "But I think our brains evolved in a clever way. There is some special part of the brain where the cancellation isn’t so perfect as it usually is, because it’s useful for animals to have a certain amount of free will."...

It appears consciousness is more of an emergent property, not an innate property.

Does that mean you believe consciousness can arise de novo from the non-conscious? If that is the case then it seems equally plausible that free will can arise from stuff that is completely determined. That would be a possible answer to your "where did it come from?" question.

So what is the "will" that causes a wavefunction to collapse into a specific state?

Like dark matter, "will" is defined by the effect it is postulated to have. The "will" is what collapses the wave function like dark matter is what is causing the universe to expand.

If I run the EPR do I will the spin state (or polarization state, depending on precisely what I'm doing) or is that out of my hands entirely? (hint: we do not know, cannot know, and cannot control which of the two quantum particles assume which of the two states possible to them)

What you can "will" is the resolution of the quantum state of your brain, which is how you choose what and how to measure in your EPR experiment.
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