If your rats are sneezing a lot, and they aren't new to you or to their cage/environment, you should take them to the vet as a precautionary measure. It's possible that they have a respiratory problem and might need antibiotics to treat it.
I'm not too familiar with corn cob bedding, so I couldn't say whether or not it's good for rats, but if it produces dust of any kind then I'd definitely switch. For rats, I highly recommend using polar fleece blankets, and then a litterbox for their potty area. I use Yesterday's News for the litter, and I use an assortment of blankies that I've made from fabric-store fleece. I go to JoAnn's when they have sales and buy some fleece, and it lasts quite a while! I switch out blankets/hammocks about every 2 days, and then do a load of rat laundry each week when I do my own laundry.
Fleece is good because it doesn't catch on their toenails easily, and it doesn't produce any dust. It's also a heck of a lot cheaper in the long run than buying litter that you'd throw away after each use.
ETA: I should also add that my boys prefer to have a bunch of smaller blankets as opposed to shelf lining made of fleece. They like to take the blankets and mold them into little nests in their sleeping areas, and are much happier with multiple small blankies. (I usually cut them into about 10" squares.)