Yep, relays (and all solenoids) can become magnetic after long periods of use.

There's a few ways to demagnetise steel parts, try google, anything from degaussing wands, north/south magnet poles and whacking it as u said.
IF youre gonna whack it, make sure the longest part of the steel plate is facing in an east/west direction.
If it's facing north/south, you're only gonna turn it into a magnet, which is why large steel ships are NEVER built in a north/south direction.

.....as Michal Caine would say...."not many people know that...."

MM