Depends on the grade of stainless steel used......if it's 304, it shouldn't rust (not easily, anyway, and not much, if looked after); if it's 409, it's designed to gain a full coat of surface-rust to protect against further corrosion.

My old exhaust, removed from the car after just 8-9 months on the car --> (link)

But, yes, I was told to use a light-grade sandpaper to take the majority of the surface-rust off, then once it's down to metal, to buff that and treat it with metal-polish of some sort (I was pushing more for a full refund, than tips on getting rid of the rust, given that I'd asked for a stainless steel exhaust that I'd hoped would actually stay "stainless" for a bit longer than that one did)