Way back, when I was 7 or 8 years old, (I am 55 now), my dad got me an
electric train set....During that Christmas we were at my Grandparents
place
and they were on 25 hz power....At home we were on 60 hz power...

We had to be at home for me to try out my new train set.

What has that got to do with this question?...

This....

I have a number of transformers and would like to experiement using then
at
a higher frequency....let say 500 hz and / or higher.....

Would they still work?...I am assuming so...

Would they run cooler?....

Usually if the transformer was designed for a low frequency it will work at
a higher one tuil the frequency is so high you run into core losses. If a
transformer is designed for a higher frequcncy it will overheat if ran on a
much lower frequency.
The military used to use about 400 hz AC in the planes so they could save
weight on the transformer cores for one reason.