Recursion or Iteration?

Are they more expensive than iterations?

Yes they are. Many Lisp variants support the idea of a "tail-call optimisation" which allows many uses of a recursive function call to be converted into an iterative one (this is simplifying a bit). If tail-call is not supported, then a recursive function call will use progressively more memory on the stack.

Are they more expensive than iterations?

Yes they are. Recursion requires creating a new stack frame along with a call and return whereas iteration generally only requires a compare and branch making it substantially faster; however, compilers can perform tail-call optimization on certain recursive calls (namely tail calls) which allow them to reuse the stack frame making the recursive call much less expensive and effectively turning them into iteration. Scheme actually requires that scheme compilers implement tail-call optimization.