I`d just replace them, preferably with Stainless ones. How much are you gonna go through for a) the cost and/or b) the chance that a fix won`t last?
You can derust them either chemically or mechanically or, most likely, both. Then you could paint/powdercoat/replate them and I bet somebody like Eastwood has a paint that`ll look right. But I just don`t see those fixes lasting or being worth the time/hassle/expense.
For fragile-finish lugs, well...ones that show...remember to a) wrap the lug with plastic wrap/etc. to protect the corners, even if your wrench/socket supposedly "grips the flats" and b) find a socket that fits properly (I have a scad of 19mm ones for the Audis and one always fits one set of lugs better/worse than the others).