Low odor mineral spirits is so effective and easy, i don't know why people still any other method. It dissolves cosmoline on contact and gets in all the nooks and crannies for most effective removal, doesn't harm metal or bluing, evaporates with no trace, is easy to work with (no odor, doesn't burn skin), doesn't cause rust and is fairly cheap.
Hot water does soften cosmoline but does not remove all traces since oil and water still don't mix and must be followed up with another solvent to really clean the remaining residue. Plus you need to make sure you get all the water off preferably with yet another solvent or else you risk rust formation.