Rust will show through the thickest of paints if primer is not used beforehand. Make sure that you are using a rust preventating primer generously over the entire rusted surface for proper coverage.
1. Scrape off large pieces of rust. The goal of this is to remove pieces that would clearly show when painted over.
2. Sand remaining loose rust. You don't need to completely remove all rust, just remove enough to have a smooth surface for paint.
3. Apply at least one coat of rust preventative primer to the complete painting surface. Apply additional coats of primer to make a smoother finished surface.
4. Paint over primer with an oil based exterior paint. Since latex paints are water based, they can cause future rusting even after priming.