I have had rust issues before, when having a poorly sheltered workshop. I have tried paste wax and parafin, and I am not 100% sure, but I think they do absolutely nothing. Oil, any oil, seems to be essential.
For me, the most important thing was learning how to remove the rust. Doing it the right way will reduce future problems. They sell phosphoric acid by the gallon. You can use this to remove rust, and it leaves a block oxide layer. After rinsing and drying, apply some oil to soak into the surface, and this adds some protection. Even better if you use a zinc phosphate solution, phosphoric acid with zinc dissolved in it. This is sold as parkerizing solution already mixed in the correct ratios. You put the part in there and it will remove the rust. And it will deposit a protective layer thicker and more durable than the plain phosphoric acid.
I parkerized the top of a cast iron saw table by covering it in sawdust and pouring on the solution. It worked wonders. The table gets some rust around the edges, but the top has been rust-free ever after.
A lot of people use vinegar to remove rust. It does this great. And it leaves a patina, but it really doesn't add much protection.
Another trick I learned about later but never tried is linseed oil. If you apply it to steel and then heat it up, it makes a really solid black patina. I suspect it's partly chemical reaction, and that there may also be some polymerized oil stuck into the surface.
https://youtu.be/4ywqz3OWN4w?t=156Another thing to be aware of is the color of the rust. If your tools get a dark brown rust that is smooth/flat, it is sometimes best to just oil it and rub it down. Buffing with fine compound, if you must, or do the acid wash. But don't sand it off and leave a clean coarse surface. The dark brown rust is very benign. If you rough up and clean the surface, you can trade that in for destructive red rust. The dark brown stuff usually develops very slowly on well-oiled tools, IME. In days gone by, machinists used to grow a thin layer of this dark brown rust on there, on purpose, using steam and a card file to brush off the excess.
If you are in a humid/salty environment, basically get used to having funky colors and stains on your steel. If you only concern yourself with just the red/orange or bumpy/rough/dusty/crumbly rust, you will save a lot of repetitive work for no reason. Any other stain that starts/grows is technically eating the steel, but it is also protecting it from the red rust which goes off exponentially once it sets in and is about the only thing that will eat down below the surface.
If you must have bright and shiny steel, then get used to refinishing regularly. I'm sure you can find commercial products with fantastic claims.