Noob question about removing rust from wheels and calipers

[zitsky]

I have AMG wheels on my newly acquired 2004 S500 4Matic. I had a flat just a few hours after driving it, due to hiting a curb with one of my Continental ContiExtremeContact tires. So I have the small spare tire on one of my wheels which lets me see the condition of the calipers and wheel pretty well as regards to rust. My car is in great shape other than some small amount of rust, being from NY state. The inside of the wheel is pretty rusted as you can see from the attached pic. The center lug nut looks pretty clean but there is plenty of rust all around it. What's the best way to deal with that? Can that inside piece be replaced easily or is it part of the wheel/axle? (I did say it was a noob question.) I plan to replace all the lug nuts for cosmetic reasons. Should I try to clean the rust that is probably in the threads, either by applying a rust inhibitor to the threads and or new lug nuts?

The calipers don't look so bad, but I'm thinking about having them sandblasted and powder coated silver. This is all for cosmetic reasons but I'd like to do it if it won't cost much. I also have to get the road rash on the AMG wheels fixed.