Although the excitation of localized surface plasmons is associated with enhanced scattering and absorption of incoming photons, only the latter is relevant for the efficient conversion of light into heat. Here we show that the absorption cross section of gold nanoparticles is sensibly increased when iron is included in the lattice as a substitutional dopant, i.e. in a gold-iron nanoalloy. Such increase is size and shape dependent, with the best performances observed in nanoshells where a 90-190% improvement is found in a size range that is crucial for practical applications. Our findings are unexpected according to the common believe and previous experimental observations that alloys of Au with transition metals show depressed plasmonic response. These results are promising for the design of efficient plasmonic converters of light into heat and pave the way to more in-depth investigations of plasmonic properties in noble metal nanoalloys.