Lots of guys, myself included, have file knives in our past. Still make one occasionally. The good files in the past were W1 and W2. Both good straight carbon tool steels.
I anneal the file first to soften it so it can be filed, drilled and ground easier. Heat to cherry red (the point where it becomes non-magnetic) and quickly bury in vermiculite, a box of dry wood shavings. Air tight so it won't burn, lime, or dry wood ashes. The key is that it is insulated so it cools over several hours.
Then grind and shape through a 220 grit. Drill holes and otherwise finish.
Then reharden by heating to the same non-magnetic point and quickly quenching in oil. (Yes the W1 and W2 denotes water quench, but it is not necessary in thin sections like knives). Then draw or temper the hardness by putting in an oven at 400 deg F for two hours, cooling, and repeating for another two hours.
Then continue finishing the heat treated file blade to the degree desired, being careful not to heat it beyond the 400 deg F point. If it turns blue you've messed it up and have to reharden and retemper.
Having said all this, be really careful about using files. Many of the no-names, or Chinese imports, or Wal-Mart specials are inferior steel and won't properly harden. Some are not even tool steel but are simply case-hardened. You'll do all that work and wind up with junk.
About the only brand I still trust is the Nicholson.
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Ben R. Ogletree, Jr.