http://www.doityourself.com/stry/how-to-restore-a-rusty-wrought-iron-fence

Here you go. It's simple and cost effective. Time is your biggest expense.

If you find the decay has progressed too far to save the columns, new posts will be less expensive if you choose a "non-curly" design. Or, some wrought iron fabricators have a pile of old work which is destined for recycle where you might find posts that can be retrofitted for your needs.