A dessicant bag is one of those little white sealed bags that you find included in electronics packaging, clothing, and some packaged foods. You know, it usually says "Do not eat" or something like that. It just a little bit of dry material to keep the moisture level down while the product is packaged and waiting for use. Anyway, they sell bigger bags of this stuff for keeping moisture down in large spaces, like RV's, cars, rooms, etc. Try Walmart, REI, military surplus stores, camping stores, etc.
Regarding petroleum jelly, I just bought a sword online that came coated with the stuff. So, perhaps it is pretty common to use it for rust prevention.