I've always used 0000 steel wool and never have had any problems either with scratches, blue coming off or shards imbedding causing more rust.
Use enough oil,,don't use it dry.
If the rust you are goig after is just the fine grained surface rust type, then I just cover the metal with some oil and also put some right on the steel wool and wipe the metal down with it.
If there are blisters of rust, those are the ones that you usually can not remove with just a wool pad of any sort w/o starting to damage the blue by the time the blister dissappears.
Go after those heavy rust blobs by coating them with oil and letting the part set aside for a while. Narragansett's method is ideal.
You want the rust to get soaked by the oil ans softened up.
Before I use the steel wool on the heavy stuff, I use a piece of copper to scrape the rust blister off.
Again keep oil on the surface. The copper won't hurt anything though it will leave a copper color on the surface over the bluing. That color will wipe right off when you are done.
I use old Canadian pennys for the scraping,,they just seem to work right and maybe (?) a little softer alloy than the US copper one centers. Maybe it's just my mind failing.
Anyway, after pushing the bulk of the loosened, heavy rust off the surface,,wipe that rust debris and the oil away,,then re-oil and with the steel wool, give it another wipe down to clear any remaining surface rust.
Then one last wipe down,,done.