This article is from the Recreational Figure Skating FAQ, by Karen Bryden with numerous contributions by others.
There are two kinds of blade covers, hard rubber/plastic guards and
terry-cloth "soakers". The plastic guards should be worn *any time*
you step off the ice. Even "safe" rubber mats or carpets accumulate
dirt and grit from the shoes of pedestrians, and this grit will nick
and round off the fine edges of your blades much faster than gliding
across the ice. Do not leave them on your skates between sessions as
they will trap water and cause your blades to rust.
The cloth soakers are put on after you have removed your skates and
wiped them dry with a rag. They protect your blades from bumping in
transit and wick away any condensation so your blades won't rust. If
you still have problems with rust or want to store your skates, rub a
drop of oil or Vaseline along the bottoms of the blades.