What Mike said takes more time, but when you're through shaping, all that is needed is a temper in your kitchen range. Two, two hour tempers at 450° works well for a file. Otherwise, you anneal the file, grind it with only moderate concern over heat. Grinding and finishing is easier, but then you have to harden, and temper it. It is easy to over heat the steel in the annealing or hardening process, causing grain growth, which weakens the finished blade, but with care, can be done. Plus, you will need about a gallon of canola oil at least, to quench it in. I would suggest what Mike said to be the easiest course to follow, but you will still need to temper it, or it will be way too brittle.