I use boiled linseed oil (a drying oil available from hardware store) on all rusty iron implements and old unfinished wood (like tool handles). Hand brush with a steel brush first to remove major flakes of rust (NOT a motor driven rotary steel brush; that will take you down to bare metal).

Apply the oil with an old rag. It penetrates the rust crystals and forms a (relatively) hard composite structure. Don't worry about getting it down into the spoke nipples, it is pliable enough it will not interfere with adjusting spoke tension.

It forms a black oxide finish. It doesn't look great on a bike, but it resists further oxidation. Here is what an old hand pruner looks like when coated with linseed oil: