Robby,
Thanks for the question, it is great to see your interest in using the original material. No, you do not need to remove the rust before forging, only remove any really loose corrosion.
Caution!!! If the material has been painted, it was probably painted with lead oxide based paint. It is best to remove the paint first before forging, otherwise you end up breathing lead fumes which is not good for your health. Remove any paint with that chemical stripper stuff, if you wire brush or grind the paint off you again end up with the airborn lead.
Let me know how everything turns out.
Jim