Steel wool, the finest grade you can get. Cover in 12% hydrogen peroxide, sold as "40 volume developer" at beauty shops. Add a tablespoon of table salt and stand back, wear your goggles, because it will go exothermically to yellow iron hydroxide which you can collect and dry on a filter. I like to do this reaction in disposable plastic cups, so I don't have to clean a beaker, but I place the cups inside a beaker so that if the cup does melt through (hasn't happened yet) I won't have permanent rust crud all over the bench.
Bake the iron hydroxide in a crucible over a gas flame for an hour and you will have gorgeous pigment-grade red iron (III) oxide.