Sulfur is generally a very bad thing to admix with the PGMs--all are attacked by sulfur to varying extents.
If you can be guaranteed that you can effectively separate the FeS from the PtS, Rh2S3, and other mixed sulfides physically, it is probably a good way to go.
I'd have to look at solubility and and how acid stable they are in relation to each other. You may be able to toss everything in with sulfur as the oxidizing agent and then selectively dissolve the precious metals at various pH.
If it were me, I would try casting shot and trying to dissolve as much as possible of the material in hot 5M HCl. A small amount of palladium/gold may go into solution, but this is probably negligible. This treatment ought to remove much of the iron and other metals like chromium and nickel.
If cobalt and copper are serious concerns, after the boil with HCl and a good washing with distilled water, nitric should be employed. Pink solution is cobalt, green-blue is copper with nickel perhaps mixed in as well.This will dissolve the palladium, and trace HCl present will dissolve traces of gold and platinum, which may also give a yellowish-orange color. If there is significant palladium, the solution will be brown. This should be boiled down with hydrochloric acid to expel all the nitrogen oxides, and then heated to blood temperature and a saturated solution of ammonium chloride added. Sodium chlorate or bleach may be added (with careful pH control) to precipitate out a dirty red ammonium hexachloropalladate. This can then be redissolved in ammonia, filtered, and reprecipitated with HCl, washed with cold saturated ammonium chloride, and then repeated if so desired.
The residuals will be the gold, platinum and rhodium. A room temperature soak with aqua regia will separate the gold from the platinum and rhodium with only minor platinum contamination. If that is undesirable, a warm sodium or potassium cyanide solution can also dissolve the gold (Be very careful with cyanide: remember to ensure that it is pH 11 and to add small amounts hydrogen peroxide). I would then process the gold containing aqua regia solution as per the normal routine (boiling to remove nitrogen oxides, addition of HCl, concentration, and precipitation with sodium sulfite/oxalic acid/SO2 gas).
The platinum can be separated from the rhodium in several ways. One such way is to take advantage of rhodium's relative insolubility in aqua regia. A hot 90*C solution of aqua regia will dissolve platinum powder rather quickly. This is then treated in the usual manner and precipitated with ammonium chloride to yield the hexachloroplatinate complex, which is then either thermally reduced, or done chemically with hydrazine (or one of its salts), hydroxylamine, acidified ammonium formate, borohydride, or at high temperature with hydrogen gas. A black to gray powder remaining undissolved will be rhodium, ruthenium, or iridium. If you strongly suspect your material to only contain rhodium, it is probably quite pure as it is since everything else has been dissolved away. If you want to know how to refine rhodium, I can tell you that as well.
This is by no means the best method to do it, but it's one that should work fairly well, and the best that I can come up with on 4 hours of sleep in the past 48 hours.
Lou