If all the above steps fail to remove the rust, take the clubs to your professional or to a specialist golf store and ask them to assess the damage. It may be that you will need to get badly affected clubs repaired or replaced.
If the rust has gone too deep, there may be nothing that can be done. If this is the case and the rust is only on the shafts, then consider getting a pro to re-shaft the clubs, which will be cheaper than buying a new set of clubs. However, more often than not, the rust will only be on the surface and that can be dealt with by cleaning.
Avoid getting the club grips wet. This can ruin the grip.