Old USA made Nicholson's are a modified W-1, according to a rep I spoke to about 15 years ago. He said it should be heat treated like W-1.
That said, Natlek is correct that if you have not already annealed it, and you have a decent grinder to shape with, you can keep it cool during shaping to preserve the original hardness, and just give it a couple of temper cycles at 350-375F. This will probably give better results than you can achieve trying to re-heat treat it yourself, unless you have a good setup to do so. The factory has already done a great job at achieving full hardness, or it wouldn't have been any good as a file. From there it just needs to be drawn back a bit for use as a knife. Temper before grinding will make the grinding slightly easier but it will require patience, good abrasives and lots of dunking in water to keep it cool.
If you plan to shape it without a powered grinder then you will most likely have to anneal, shape, then re-heat treat, as most hand tools will not cut hardened steel with any efficiency.