When you work with annealed steel wire, you should gently rub off the coating it comes with. Fine steel wool works great for that. Once it's cleaned off, you can work it like most wire. You may find it a bit stiffer to work with, but that means it holds your designs well!
When you've finished your designs, you must seal the wire, otherwise it WILL rust. Renaissance Wax is one of the best products on the market to seal steel wire. Not only does it seal out moisture, but it will give your wire a smooth sheen and soft feel. Rub it on with a soft cloth and let it dry, then buff it to a sheen with a clean cloth.
One more tip...you may want to dedicate a set of tools to the work you do with steel wire. Steel is hard, and it can be tough on fine tools, particularly cutters. And it can also transfer some black to your pliers. Best to keep a set for your precious metals, and a set for steel wire, with heavy duty cutters.