Vokey makes an oil can wedge which oxidizes over time.  This process softens the feel of the wedge and gives it that rusty appearance.  

The oil can finnish will rust.

If you want to speed up the process (which already happens pretty quickly) you can soak the head in vinegar which will remove the oil can finish. After that wrap the heads in a damp towel, some people add a bit of salt, and let them sit for several hours. After following those two steps you will definitely have rusted wedges. 

*Disclaimer: I have not personally done this to my wedges, however I have seen many photos of people who have done this to yield rusty wedges. I also cannot verify whether or not it has any negative side effects on the wedges, although I would assume it does not. 

I really don't see the appeal for "rusty" wedges...can someone please help me understand the look? I know it's probably personal preference but I just can't see why someone would purposely want them that way.