Winter Cycling - preventing rust

In the interests of preventing rust from salt in the winter (on wheels, cables, freewheels etc), would it make sense to spray exposed parts with something like Tremclad rust paint?

Just keep it clean and lubricated. I wash mine at home if the temps aren't too low but have been known to wash it in the basement shower or hand spray car wash. I dry the bike with compressed air or take it in the house and towel dry it. I then put WD 40 on the chain to displace water and lube the chain.

Lots of work, but worth it.

I plan on oiling my chain every Monday since it's getting back to rainy weather. I'm actually just about to exhaust my first full bottle of oil (triflo). I think I'll try something thicker next (pro lube?) I'll rub a little triflo on my cables before I run out.

progold lubricants ProLink is seriously good stuff. recommended!
recently greased up my chain with it after a really rainy week,
resulting in visible rust on my chain, and it brought it back to good as new.
(well, functionally anyway. rust is rust. still looks crap. but at least the chain moves nicely.)

run a chain scrubber whenever you can. i used an old tooth brush to scrub components. i had to repack all the bearings halfway through the winter.

silicone spray works good for lube if you're as lazy as me just avoid spraying braking surfaces

Yup, excepting your braking contact surfaces, just keep all moving parts, and any parts that you'd sometimes like to move, like screws, greased up with something... WD40, household oil, whatever you've got (I'm guessing, since you were thinking about spray painting moving parts (REALLY?), specialty bike lubes may not be your thing, forgive me if I'm wrong). Also, keeping your bike cold, hopefully sub-freezing, will go a long way to slowing down the rust, and also will help prevent ice forming (warm bike melts water, which re-freezes in inconvenient places as the bike cools).

If you're really keen on keeping your drivetrain clean, look for a powerlink (it will be a bit different looking from the rest of your links). They're easy to pop open, even easier to close again, and you can then dunk your chain in a bottle of solvent (varsol?) and shake it clean. Scrub your gears while the chain soaks. I keep a can with holes in the bottom of it within my solvent bottle to use as a strainer when the chain is done soaking. It's much easier to do a good cleaning job this way than with a special chain cleaning brush. Also, you can do most of this job, including re-lubing the chain, in the comfort of indoors, while the dirty bike stays outside.

embracing rust is your first step to recovery.