For a little spot rust, the wax sounds good.

For more rust, a much better solution is rust converter. It chemically reacts with rust, and protects against further rusting. The rust turns black, so it won't look great, but it'll be functional. It's way easier than sanding down to bright metal, priming and painting.

For instance: Rustoleum Rust Reformer. Most big hardware stores should have something similar. Spray into a disposable cup and use a small brush.