What is this called?

Probably available as a rather pricy "fitness" item but it's simply pipe-insulation with a slit for "ease" of installation, so you can slide it over the "iron" without taking the plates off the end first. Also popular on kids bicycles though may not be the right inner diameter to fit over the iron.

Example of "pipe insulation" installation
http://www.centurylon.com.tw/Pipe_Insulation.htm
For what it's worth at a local hardware store a 6 foot length of this foam insulation is $5 which at 18" wide would make 4 of these pads

you could get away with a sheet of foam also as they look to have, wrapped in fabric that they put velcro on for you to have "easy" use.

If they are pricey and you don't want to spend that kind of money on one, and your a crafty kind of person, just get a pool noodle and put some kind of fabric cover over it so you can wash it when it starts to get funky :laugh: I'm addicted to Pinterest so my mind goes there when I see something like that