skylite...first, let's first ask why the steel is being delivered to the jobsite without any coating. I suppose that might be a local practice, though in my opinion, not a good one.
Given that, you now have to clean the steel and apply a primer at least for further protection from exposure, and you have to do this under "less than ideal" field conditions.
Ideally, you would sandblast the steel to remove rust and loose mill scale. Then you would apply a sufficient thickness of a good quality primer that would be compatible with a variety of finish coats, if a finish coat is required. Otherwise, the primer will suffice for most applications except for exterior exposure.
Epoxy is not a common coating for building steel. That is usually reserved for specialty applications, bridges and high exposure conditions. For that, the steel will have to be sandblasted to a "near white" condition.