Response from the DNR:
Thanks for writing, I have been forwarded and read your email regarding carrying a firearm openly in a state forest. The answer is not real simple. It will depend on the state forest and in what county .
Wis Admin. Code NR 45.09
(1) No person may take, catch, kill, hunt, trap or pursue any wild animal or bird, or discharge any firearm, or have in possession or under control any firearm or air gun as defined in s. 939.22, Stats., unless it is unloaded and enclosed in a carrying case, or any bow, slingshot or spring−load devise designed for shooting a projectile unless the same is unstrung or enclosed in a carrying case while in any state park, fish hatchery, or within 100 yards of any state campground, picnic area or other special use area designated by the department by posted notice.
(5) No person may possess any loaded or uncased firearm or air gun while within the exterior boundary of state−owned lands posted with department signs in Dane, Dodge, Fond du Lac, Jefferson, Juneau, Kenosha, La Crosse, Milwaukee, Outagamie, Ozaukee, Racine, Sauk, Sheboygan, Walworth, Washington, Waukesha and Winnebago counties or on state forest lands in the Kettle Moraine or Point Beach state forests, state recreation areas, state natural areas or on state trails established on abandoned railroad grades, except as follows:
(a) While engaged in hunting in accordance with the open seasons established in s. NR 10.01 on properties where hunting is authorized.
(b) At target ranges designated by the department.
(c) While engaged in dog trials under department permit.
(d) While training dogs in designated areas under department permit.
As long as you are in another state forest than the ones listed above and not within a county listed above, it would be legal. Remember the concealed carry law also.