Not sure if it is just me but the field-collection-item.tpl.php template doesn't seem to be working, along with its template suggestions.
I have a field collection called field_featured_images and according to the $variables array there are theme hook suggestions such as field_collection_item__field_featured_images.
I can successfully use template_preprocess_field_collection_item__field_featured_images() but I can't seem to use an equivalent template file.
I have tried field-collection-item--field-featured-images.tpl.php & field-collection-item--field_featured_images.tpl.php but they don't seem to work.
I have tried with and without a field-collection-item.tpl.php in the same directory and that doesn't seem to matter.