I've recently purchased a mini metal lathe. I've finished unpacking it and I've noticed that it's come coated in Cosmoline or some other packing grease like another of my tools. In the past I've just wiped the tool down with paper towels but given this was a slightly more expensive purchase I'm wondering what the proper way to handle this is? I've read that Kerosine based WD-40 is good for removing it, is that true? Is there anything that I should put on it instead that will still protect it while allowing me to use it and not affect work?
Just about any grease or petroleum removal liquid will do a decent job of cleaning the ways and other contact parts. The key aspect of this cleaning process is to lubricate and protect those surfaces once the gunky sticky preservative is removed. Straight kerosene will work just as well as expensive WD-40.
There are a number of lubricants well suited for lubricating the ways. You want something that will protect from rust, but not collect dust and dirt and debris. I'm a big fan of Boeshield T-9, a wax based lubricant in a solvent. It's a supreme rust protector and a very slippery lubricant. Debris brushes off easily.
You'll also benefit from checking the 'net for unpacking videos for your lathe. Frank Hoose may be the best producer of valuable mini-lathe information, including how to unpack, clean and tune your machine.
The above link has multiple levels, including a link to his great YouTube videos.