What degree of rust are you talking about? Light powdery surface rust >>>>>> heavy flakey rust
X2....If it is not heavy, flaky rust then I wouldn't worry about it. They need to be rusted to take the dye.
If you use vinegar, soak them overnight in the vinegar solution and then make sure you neutralize the acid by soaking them for a few minutes in a baking soda and water solution.
I think I would stay away from The Works if it was me. I don't want to have my steel traps soaking in Hydrochloric Acid. That stuff is some pretty nasty stuff. We use it to etch concrete and clean swimming pool filters. Vinegar is probably about as harsh of an acid as I want to put on them. I would also neutralize in baking soda if I used The Works on them though.