Unless you are unusually thorough, sanding or rubbing with steel wool will not remove all of the rust. If you do not remove all of the rust it will likely come back fairly quickly.
As others have pointed out, the absolute best way to remove the rust is by sand-blasting or bead-blasting but this is not a DIY project.
If you want to DIY, I would recommend you brush the furniture with a wire brush, apply naval jelly and wash off, dry thoroughly, lightly sand and immediately apply a rust inhibiting primer and coats of paint.
If you want the best result possible, find a shop that does powder-coating. They will generally blast off the rust and apply a baked on durable finish in an assortment of colors, generally for a reasonable price. We had this done to a set of old furniture and the results far exceeded our expectations