Ditto for Noel's experience, of clean steel rusting almost as you watch, if unprotected.
The chap who sold me my mini lathe also donated the MDF cover that he had made for it in his unheated outbuilding. The lathe was free of rust, and has remained so under this cover in an unheated garage.
Being open at the bottom, any moist air can escape downwards. Protected by a film of oil, the lathe remains rust free.
Except when low temperatures are expected, the big lathe is in an unheated but well insulated small shop.
When low temperatures are likely, the small shop is warmed by a 60W tubular heater under the bench. After two days, the steel bench is warm rather than cold., so above the dew point.
Again, it collects a thin film of oil over the ways during use, and remains rust free, as does the Mill/Drill..
Before this shop, the uncovered ML7 coated thickly with oil, used to go grey as the oil emulsified when the shop was unheated.
The recipe seems to be an impervious cover, open at the bottom, with a thin oil film, if no heat is available.
Howard