While in strongly correlated materials one often focuses on local electronic correlations, the influence of non-local exchange and correlation effects beyond band-theory can be pertinent in systems with more extended orbitals. Thus in many compounds an adequate theoretical description requires the joint treatment of local and non-local self-energies. Here, I will argue that this is the case for the iron pnictide and chalcogenide superconductors. As an approach to tackle their electronic structure, I will detail the implementation of the recently proposed scheme that combines the quasi-particle self-consistent GW approach with dynamical mean-field theory: QSGW+DMFT. I will showcase the possibilities of QSGW+DMFT with an application on BaFe2As2. Further, I will discuss the empirical finding that in pnictides dynamical and non-local correlation effects separate within the quasi-particle band-width.