Several good things to take it off, but elbow-grease is the main ingrediate of about anything that actually works. Living in an area as humid as I do rust-prevention is a constant task. I wax all the bare steel (lathe ways, table saw, etc.) every Saturday morning first thing. On the Saturdays I don't get in the shop I skip it and won't matter for a few weeks, but better to over-wax by doing it too often than to find rust spots from slacking on the prevention.
I have heard all kinds of reasons why some waxes work better than others but the biggest thing is getting something easy to use, won't matter what kind of wax it is if it is too much a PITA to use. I personally prefer a good quality of auto wax, something designed for collector cars.