I''d say to start with the coarse files to get the bit bevels where they need to be, then proceed to fine. But be aware the cheap files may not bite that bit...Plumbs are usually very hard to file, so you may just end up having to use whatever file actually bites. I am sure new Pferds will work great.
Use the video tutorial from An Ax to Grind, and you'll be all set.
If you haven't done a head on the belt sander before I would start with a cheap or bad head, not the one you want to use. You can't really overdo it with a file, versus power tools which can cause big issues if you mess up. And yes, you can still ruin the temper at the thin edge with a belt sander, *especially* with finer grits.
Just clamp the head to a bench and use the files until the bit fits the gauge from the print version of An Ax to Grind (google it...it's available in a few places). Hone with stones and you'll have a razor sharp axe.