Are we talking plain old arc welding(SMAW) rods, short and chemical coated?
Or TIG / oxy-acetylene rod that are long plain steel (with thin copper coat) that also tend to get rust spots if too old?
I suspect you mean the first type as you say "absorb moisture".
For that I use a storage container made for that very purpose, like this:
http://www.harborfreight.com/catalogsearch/result?q=rod+keeper
Also I made some using common plastic plumbing parts, the removable end is a screw off drain clean-out with gasket.
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I try to get them into one of these as soon as they come out of the sealed package from the store.
-brino