Grey horses are freezemarked on their shoulder rather than on the saddle area. The irons are left on for longer than on a dark coloured horse so that the hair dies off completely and leaves a "bald mark". This is pink or black depending on the colour of the horse's skin.
They're marked just the same as on any other horse but on grey horses the mark seems to fade over time, it's never any where near as prominent or stays as clear as on a bay.
Gem is grey and has a freezemark. It doesn't show particularly well usually but you can see it better when she is clipped or has a summer coat as she has black skin underneath. hers is under the saddle
It is a 'bald mark' as has been said, acheived by leaving the irons on for longer. It needs to be kept clipped to be visible, and is usually done on the shoulder