I heard of it a couple of years ago, and I've used it. What works, for me, is to oil the rust and let it soak for a while. Then have some oil in a cup, and dip the penny in it, so there is a drop of oil on the edge while you work.
Just start scraping the oily rust with the edge of the oily penny. Eventually you have to turn the penny as you wear the sharp edge down, and it's scary at first as it leaves a coppery smear on the gun. But that wipes right off with the rust and the oil.
Keep going back to the cup with your penny. Like using wet-or-dry sandpaper, you want your penny to be wet. If it's not trying to slip out your fingers, get some more oil on it.