Exactly.
A little rust on tables (band saw, drill press, table saw, etc), or on parts that only receive ocassional metal to metal movement (drill press column, jacobs chuck moving parts, etc.) is nothing to be worried about. Just rub it off with a little oil, and remember that some browning prevents more rust (even if its not so great for a tool's retail value). You could always use a scotchbrite wheel to get back to shiny metal if you decide to sell. Painting these parts is either bad (as in the case of a column, where it would make it harder to move the table), or won't last (painting the table is a futile effort).
Just be careful with parts that have close tolerences designed into them, with frequent metal to metal contact. Think: drill press quill, lathe bed ways, dovetails & gibbs, etc.
Those parts must be kept religiously oiled. Rust OR dirt there leads to increased wear. Browning leaves the surface slightly more abrasive, and any abrasive removal of it, reduces the accuracy of the machine.
Thankfully, I've never seen a drill press quill rust, because its only exposed when you pull on the handle, so just keep it damp with oil, and it'll stay clean and rust free.
As for your choice of oils. Well that all depends on your climate (indoor and outdoors). The marine rust preventative spray mentioned up this thread will probably keep you rust free in a Peruvian Jungle, but is most likely sticky and will attract dirt (bad for moving parts, but good elsewhere).
Your own tolerances for reapplication, messiness and odor will dictate what oil you choose, but oil of some sort is what's in order.
My own rust issues were mostly from machines getting cool at night, and then having water condense on them in the morning, from warm wet air infiltration. wd-40 is not up to protecting when dew drips from your machines on a daily basis, but it may be just fine for you also.
-- Robert