Freewheel in vinegar
Baked on grease can look yellow or the manufacturer might have coated it with something. In this case, it looks like the manufacturer gave it a light coating. 

Normally the lube from your chain (especially if you use a tacky lube) is enough to prevent corrosion. But if you're worried, why not just give it an extra coating of silicone oil. 

For bare metal parts, I also use Boeshield, figuring if it's good enough for BOEing to SHIELD aeronautical parts from corrosion, it's good enough for my bike. I use it on places like hex bolt heads which seem to attract corrosion but you could also use inside your cassette. 

Fineprints: But (along the lines of what  @Criggie points out) it might be cheaper to buy a new freewheel than a can of Boeshield... Another side note is that using an acid to strip rust can be a bad idea because it leaves the exposed metal in a particularly vulnerable state for corrosion. Because rust on the sides of the sprockets really doesn't hurt you, I would have just degreased with a citrus degreaser and left the rust alone -- or bought a new freewheel.