Different brands of files are made different ways. Some are soft in the middle and hardened only on the outside surface. Some are hardened all the way through. These are generally a 1.00 % plain carbon steel, give or take a little on the carbon %. These are the kind to make a knife from. Nicholson Black Diamond files are generally regarded as the most reliable for use as a knife. If you want to see which kind you have, try to cut part way through then break off the piece with a hammer or lever it in a vice. Be sure to observe safety precautions and use protective equipment. A fully hardened one will break cleanly at the notch/cut, while a case hardened one (soft center, hard outside) will show some bending at the softer parts. Note that breaking cleanly does not always mean breaking easily. Mine had to be cut nearly 90% of the way through before I could break it with a claw hammer. I made the cuts with the abrasive cut-off wheels on a Dremel. This test should not be done at the tang, as the tang is generally soft, no matter what kind of file. You dont have to heat treat it, as long as you dont heat it during grinding/shaping. If you grind it hardened, expect frequent cools in water or something, or find a wet grinder. Grinding hardened steel takes a lot longer.
If you want to soften it first, use a propane, mapp gas or oxyacetylene torch and heat it to a red color and allow it to air cool. This will allow you to us a hacksaw to shape it and a drill press to drill it with regular bits. After shaping is done, you can heat the blade to the point it becomes non-magnetic, or a little hotter, then quench in oil, or water. Water will cool quickest and give a higher hardness, but may crack the blade. Oil may not harden it as high, but wont crack it, IME, but may warp it. After quenching to room temperature, leave the blade in the freezer for an hour. Then draw it in the kitchen oven at 325-375, the lower the temperature, the harder the blade. I repeated the freeze/oven cycle once more, but this may not be neccesary.
All this information is just for starters. If you try it and find you like making knives, then the heat treating of even plain carbon steels can become pretty involved. The shoptalk forum under "Makers" here on BladeForums gets to be pretty helpful.