Is it possible for clumps dense enough like for example iron to exist?
We don't know.
Maybe, at some point in the future when the dark matter finds itself cold enough to enable some kind of interaction within itself, it may condense, crystalize or clump in dense enough structures.
If you get close to it, can you grab a piece and put it in a bucket?
Not in the common understanding of "grabbing". Our everyday interactions with objects around us are without exception electromagnetic. Well, Earth gravity is a thing, too. But it is electromagnetic interactions that keep you from sinking in the floor.
Dark matter is known exactly for its inability to interact electromagnetically. This is why your hand, as well as your bucket will let any amount of this "substance" to pass through.
Can you make invisible objects from it? Say for example a ball or a hammer made of dark matter.
Make? You will have to interact with it in order to "make" something out of it. It is not only invisible, it is untouchable as well.