I agree with mete. Notice that mete didn't say that what you propose can't be done. It just takes a very long time and uses a LOT of abrasives. It grinds more slowly, because the material is so stinking hard. It heats up the file quite a lot as you grind it, which is not a good thing. You would have to grind very slowly and carefully, not letting the temperature of the file/knife get very high. If it gets too hot, you'd ruin the heat treat and have to do it mete's way (which is the best way!).
If you feel you must try it, then do not wear gloves. Gloves are unsafe to wear while grinding, as they can become caught and pulled into a grinder, thus causing significant injury. In addition, without gloves you'll instantly know when the file is beginning to get too hot and can simply dunk it in a pale of water.
Expanding on mete's suggestion, I suggest you check out the stickies at the top of the page and build yourself a simple forge (one brick type). You can do everything that mete suggests for very little money!