The bane of our existence. It is really really hard to stop and it just plain sucks to come back to a model a few years later and find the bright parts starting to rust.
The best way to prevent rust is to paint the steel. if the parts are supposed to be bright, clear lacquer can work, but it does affect the appearance and is not as durable as paint. Next is keeping it oiled, or giving a shot of wd40 every now again. the WD40 is supposed to displace water. messy and smelly for finished pieces on the mantel.
Another strategy is to blue it, the cold blues work ok. this creates a tiny bit of surface oxidation that tends to retard further oxidation.....but, you loose the bright appearance. I've also found that putting a proper finish on helps avoid rust, progressively finer files then a bit of fine emery - but no one here would ever leave a part with tool marks in it, right?
I'm increasingly of the opinion that for parts where only the authentic appearance is bright steel, is to make them from stainless. Bill Huxhold, one of the best ME's, does this for all parts; makes everything from free cutting stainless, say 303. It machines to a better finish than than mild steel and you never have to worry about that valve gear rusting. Problem is I already have so much steel in stock so i haven't yet followed my own advice.
Lastly, as Rick says, pay some attention your shop's climate. Big temperature swings between day and night especially with humid summer air can create a lot of condensation. A cover will provide some help (stuff in a drawer fares better than on the bench), as will heating the shop to keep it a constant temperature. A dehumidifier is a must for the warmer months.