I put paint on all of my bare steel parts to prevent rust. For the places where paint is not allowed, as in the edges of the rails where the ball bearings roll, I put a few coats of automotive carnuba wax on it, buffing the wax after each coat has dried a few minutes. The wax will prevent rust for months and does not add significant build-up.
Rustoleum has apparently stopped making the textured silver paint that I used on my smaller steel machine but the hammered silver that I used on my big machine is still available around here. Hopefully, you can find the hammered paints (or something similar) near you.
Surface milled steel looks good but it rusts easily and I really don't like the looks of rusty steel. If you want to keep the milled steel look, you can paint it with clear lacquer paint.