Don't bother, I had mine linexed and after I realized they were rusted on the inside worse then the outside. Go buy new ones, something in stainless, and then get them powdercoated.
No, sandblasing (or media blasting) the steel step bars will not harm them, and the powder-coaters will probably do that anyway. The only thing to remember is that the curved end caps on the step bars are plastic and cannot be powder coated, so you will need to paint them to match the step bars.