I usually just use 0000 steel wool with WD-40 or another light gun lube. Since 0000 steel wool is used to card barrels during the slow rust bluing process, this is very unlikely to damage the bluing unless you really rub the hell out of them. Bronze wool is even less abrasive than steel wool. The use of a copper penny or flattened brass cartridge case as a scraper for tougher spots has also been noted by others. I think it helps, in those cases, to moisten the rust spot with a light lube or penetrating oil for a day or so to loosen the bond before going at it.
Believe it or not, the abrasives in a rubber eraser are more likely to scratch or thin the blue than 0000 steel wool. Erasers contain fine abrasives like silicon carbide, silicon dioxide, and emory powder. Same goes for Scotch Brite pads. The abrasive in Scotch Brite will even scratch glass, which I learned the hard way years ago when I used one to remove dried bug guts from my windshield.