From experience )I am a Project Manager of a Shipyard) you must do 1 thing before any painting.
Stop the rust.
Yes that sounds silly but you would be amazed at how many people give it a quick brush with a wire brush and just paint it.
How I would do it based on what we do here.
Clean up the scale and hit it with rust converter and let it oxidise over. If you get a good finish (mechanically prepped) rather than use rust converter, prime with a good etch primer. Note: Weld seems and joins are very hard to get a good sub straight finish when rust has been present, using a rust converter allows it to penetrate in areas that you can't clean-up by mech prepping.
Regardless of what option you use, follow the directions of the product you are using and paint over them as required.
Cold Gal is not the best option on bare metal that has rust pitting or has had corrosion on it as Cold Gal is a soft finishing paint and doesn't bond the best (not like an etch primer).
I am sure there will be other options put forward, but that's how we do it on ships and the salt water environment.
Cheers & Beers,
Joe