Anybody have a good method?

I put them in a small bowl of Limeaway and let it sit for a few hours.
- Transfer the weights to a small bowl of vegatable oil and begin to clean. Do not use any water.
- Rub each weight with a brillo type pad until clean.
- Remove as much of the oil as possible with a clean cotton cloth.
- Let them air dry completely.
- Store them in a small air tight 4 mill resealable bag.
- Add two drops of your favorite scent to the package.
- They will never rust again.

New steel weight prevention of rusting:
- Store them in a small air tight 4 mill resealable bag.
- Add two drops of your favorite scent to the package.
- They will not rust.

try some dry baking soda in a coffee can, put top on and roll around.

As a reloader, I would suggest a rock tumbler with stainless pins, stainless chips, walnut shells, or whatever. They will come out looking new. This would be similar to what hopalong suggested albeit you need a tumbler. But it is easy, just toss them in, run it for an hour or two (checking periodically) and done.
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Evaporust is also seriously effective stuff though it is possible it might darken the stainless. I would test one weight first.

50% vinegar and 50% water is what I use to get the rust off tools. Let it sit overnight, then clean with baking soda and water, dry and spray with silicon. That being said, I'm not sure how the mixture works on stainless.

Good old WD-40 is plenty effective. Both for cleaning and for prevention. Some will swear it is a good scent attractant as well.