Kevin,
I agree with Sarge; some files are good steel (most Nicholsons are 1095) others are case hardened junk.
If you decide to go the file route put one in a vise and bend it. It should break easily and with very little bend. Take a close look at the grain structure too; in a thicker file, that is a fast quenching steel, the center should be pearlite (the grain will look much larger and more metalic). As a side note, use the grain in the file as the bench-mark for grain in your heat treated knives.
It's my personal recommendation to get steel of a known type; you'll know exactly what you have, there are heat treating tables available, you'll be able to reproduce the results, the steel will come annealed, and you'll invest far less time in acquiring a good supply.
It will be much easier for you to file annealed steel than a hardened file and there are many steel that are very easy to heat treat yourself with very limited resources. If you're concerned about heat treating on your own there should be some local blacksmiths or knife makers who would be more than willing to HT your blade. If you can't find anyone local, send it to me and I'll take care of it.
I know there is always a draw to using found materials, but there is nothing worse than spending hours of your time, getting your hopes up, only to see them dashed. The only smart thing I've done with regards to knife making (or anything for that matter...beyond marrying my wife

) is I have always used known steel.
Heres a link to a materials supplier page
http://www.internetbusinesslinks.net/SupplierList.html I suggest starting with some o1 or 5160, both are easy to work, easy to heat treat, and make great blades. You should also check ebay for small quantities of o1; you can get a few feet for under $10.
If you need any help feel free to email; I'm glad to offer any advice I can.
Matt