Rust is a chemical reaction where the iron atoms become bonded to oxygen. The oxygen in air is not the major problem, it's the oxygen in water when combined with air that promotes rust. (Steel and iron will undergo a form of corrosion similar to rust underwater, but it's a different chemical reaction and takes much longer.)

The primary culprit is being exposed to rain or high humidity in the air. Accumulated dirt can also hold moisture close to the metal and promote rust.

The biggest form of preservation is keeping the item in a dry, low humidity place.

The next thing is to coat the metal in some way that provides a barrier to the moisture. This can be paint, or oil, or wax, or other things. The right thing really depends on the item and it's purpose.

If you can be more specific on what you want to preserve, people can give more specific advice.