I make sure my iron has fresh solder on the tip before putting it back in the holder, either from whatever I just soldered, or by adding a little more. Never wipe it off before putting it back in the holder, as the excess solder oxidizes instead of the tip.
Then I wipe the oxidized solder off and add a little fresh solder just before soldering a connection.
I use a damp sponge with slits cut in it, and when needed I use a brass wool tip cleaner.http://www.jameco.com/Jameco/Products/ProdImag/156777.jpg
I don't use it instead of a sponge, I use it in conjunction with a sponge. I'd only use steel wool on a badly corroded gunked up tip, and I'd never file it or use sandpaper on it. There is a thin plating of iron on the tip, if you wear through it then the solder mixes with the copper inside and your tip will hollow out.
Radio Shack irons have rather thin iron plating on them, and their solder tends to have -very- aggressive rosin core, almost an acid. I don't buy irons or solder from them any more.