I always just heated the adapter and the glue, never did heat the broadhead. But, I might've been doing it wrong all this time. I can only think of 1 time that I had any BH's come off of the adapter and I just figured that it was because I was using a Bic lighter that time and didn't get stuff hot enough.
As for the steel vs. aluminum question, I have never personally had any problems with the aluminum, but when I first started getting into putting them together myself, a buddy (that owns an archery shop) told me an horror story about him shooting a hog with one and it hit the shield, broke off at the BOP and he had to jump up onto a nearby rock to avoid getting mutilated by the angry boar that came after him. Because of that story, I started using steel, and have't had any reason to stop yet. That being said, I don't have any idea how long ago that was for him and quality could conceivably be better now. I just figured "better safe than sorry."