HTH
For rust to form there must be Oxygen and Water (Moisture )
If the air is above the dew point, moisture will not condense on a cold surface.
Alternatively, if the relative humidity is low, condensation is less likely.
Summing it up, ideally; keep the air dry (Dehumidifier ) and above the dew point (Heater, but dry heat, NOT combustion , unless the products of combustion are vented directly outside.
What can t you do/
Insulate the shop. (My small wooden shop has 50 mm glass fibre in all walls and the roof. A 2 Kw fan heater usually runs for about 15 mins before the thermostat shuts off. Then, it runs for about ten minutes in each hour. But my shop is small and in UK, East Anglia.)
Ventilate; with a vent as low as possible. Moist air is heavier than dry, so a low vent allows it to go outside.
(Church walls without a damp course are kept dry by unglazed tubes set into the wall so that they slope downwa towards the outside. 
This implies a high level vent to allow air in to replace the moist air that goes out through the low level vent.
(My shop has two small fixed vents at floor level and a high level intake for an intake fan, with an external hood open at the bottom to exclude rain. )
As said, dispense with the duvet, since this may retain moisture.
The old, uninsulated, shop, the oil on the Myford was often milky and emulsifying with moisture. The insulated shop, rust is almost unknown. In winter, a 60 Watt tubular heater under the bench is left on and after a couple of days the steel benches are just warm to the touch,
So ventilate, keep as dry and as warm as possible.
Howard