On satin-finished blades, very fine steel wool (#0000) will do fine. Might avoid using it on polished blades; it may still be OK, depending on the steel/hardness. Steel wool isn't 'hardened' to the same degree as knife steel, so in many cases the fine grades won't scratch a hardened knife blade, when used under light pressure. And when used with some oil or WD-40, the abrasive effect is further reduced.
Other options for rust:
1. Baking soda scrubbing often works well on 'new' rust, which hasn't worked too deeply into the steel. It's a mild abrasive, much softer than steel. In addition to it's scrubbing capability, it's mildly alkaline in pH, which is handy on blades exposed to acidic materials (helps neutralize the acidity and halt corrosion). I use baking soda to scrub rust from carbon steel blades onto which I've 'forced' a patina with vinegar (acidic), and it works very well.
2. Very much agree with other posters about using Flitz/Simichrome. On a polished blade especially, it's probably the best option. On satin finished blades, it certainly won't harm anything, but might leave some 'bright' areas on the otherwise muted finish.
3. Used with care, Bar Keepers Friend will remove rust almost immediately. It contains oxalic acid, which literally dissolves (chemically) the rust and other oxides of steel. For small rust spots, use the BKF powder mixed with water into a paste. Dip a Q-tip into the paste, and rub the rust spot for maybe ~30 seconds or so (no longer than 60 seconds). Wipe the paste away with a damp paper towel, and rinse thoroughly. The acid will etch clean steel too, if left on the surface too long, so be careful with it (read the warnings on the container, and heed them). By the way, this method works beautifully on rust stains left on plates/stoneware (if you've ever left dishes in the sink too long, with knives/forks/spoons laying on them, leaving rusty spots on the plates).
David