Back when I worked in the enginehouse, we used to paint the axles of used diesel wheels with a black Rustoleum coating to prevent rusting in storage and transit. This was a removable coating, which could be dissolved with mineral spirits.

Some new wheels, however, arrived with a similar type of removable coating, except that it was translucent, resembling grease smeared over the surface. It strikes me that this might be a good coating for side, main and eccentric rods on a displayed steam locomotive, after the rods had been polished.

On a working locomotive, rods should not be painted (it conceals cracks), but were polished with emery cloth before installation, usually by an old laborer who was too broken down to do anything else. In service, the rods got coated with grease, which resembles the coating I'm referring to.

As the silver-painted rods on most display locomotives look a bit fake, the engines could be made to look a bit more like they were in service if the rods were polished, then coated, but does anyone know what coating I'm referring to and where it can be obtained?

Could it be Cosmoline?

http://en.wikipedia.org/wiki/Cosmoline

I can't speak for the taste in the description.... but this may be what you are dealing with. There may be a varitey of Cosmolines, but I got a new lathe at work with it all over the ways and nearby pieces. Generally, it can be cut with most any solvent that works on petroleum products.

I can't imagine that the wax-like preservative would last long on a park locomotive. It works good on temporary uses like preserving bearing surfaces, guides or sufaces that are indoors but get some flash rust, but over time outdoors it looks rather dirty as it seems to attract dust to its surface (but not the metal).

The coating I'm referring to was not sticky when dried, and was pretty tough, with a brownish tint, but not opaque. It was harder to remove with mineral spirits than the Rustoleum we used to paint the journals, but could be removed with some effort. On bright metal, it looked much like the greasy rods on a working locomotive. It was not really like the cosmoline I'm familiar with.

We at Sperry Rail use a coating called Tectyl 506 EH WB on our axles after removal for storage and shipping. It is just like you described. It will last indefinetly outdoors or in and is pretty tough. Removes with solvent and elbow grease. Made by Daubert Chemical Co. They make many kinds of rust preventative coatings. http://www.Daubertchemical.com look under Products, Tectyl, General Industrial. I believe ORX ships their wheelsets with this on them.
Randy Natale