Lead would penetrate more than iron but less than copper.
The capacity of a material to conduct heat is measured by its thermal conductivity. The material with the highest thermal conductivity in this situation will pierce the ground the lowest.
Among the options given, copper has the highest thermal conductivity (iron, copper, and lead). Due to copper's effective heat conduction, when these materials are heated to the same temperature and placed on a wax slab, copper is likely to penetrate the deepest. Lead conducts heat more readily than iron but less so than copper.