We study the iterative methods for large moment systems derived from the linearized steady-state Boltzmann equation. In this talk, it is shown that the direct application of the block symmetric Gauss-Seidel (BSGS) method has slower convergence for smaller Knudsen numbers by Fourier analysis. Better convergence rates for dense flows are then achieved by coupling the BSGS method with the micro-macro decomposition, which treats the moment equations as a coupled system with a microscopic part and a macroscopic part. Since the macroscopic part contains only a small number of equations, it can be solved accurately during the iteration with a relatively small computational cost, which accelerates the overall iteration. The method is further generalized to the multiscale decomposition which splits the moment system into many subsystems with different orders of magnitude.