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Though I have never made a knife from a file. I do know that they are normally a good High Carbon steel that is heat treated to around 60 to 64 RC Depending on the maker and file type. You should be fine without a temper. if the edge seems brittle and chippy. Then temper the next one B4 you turn it into a knife.
There are 2 ways I have seen file knives done, One the file is forged. which takes away the hardness and temper. and put you in a position to have to heat treat the knife after you have it finished. And the second way is what it sounds like you have done, worked with a file and removed everything that doesnt look like a knife. In this case. you want to work cool, as to not screw up the heat treat done by the manufacture. Both ways work.
As to the steel. Cold rolled is part of the process in manufacturing the steel. does not mean much at all. You will want to start with a steel that has at least .60 carbon. so a 1060 or higher. I prefer 1084 and 1095 personally.
Have you already installed the handle on the knife. If not you can still draw the temper back. Files are brittle hard for a purpose and a bit too hard for a durable knife. You will have trouble sharpening it and will run the risk of edge chipping or the blade snapping in half (usually near the handle/guard area as that is the highest point of stress in a using knife).
You can "garage" temper in your household oven. It's not extremely accurate but will work. First do not depend on the built in temp control of the oven. Get a cheap oven t-meter and place it on the rack where you place you blade so that you can see what is happening at site. I'd set the oven for 400* and let stabilize based on t-meter, then place the blade nest to it. if it is a reasonably thick large blade let it soak at that temp for at least 2 hours. Keep and eye on the t-meter as the oven will fluctuate as it kicks on and off. You don't want it going above 425 for any length of time (couple of minutes won't hurt). This will probably give you blade a dark straw with hint of blue/purple oxidation on the surface. No problem and will come off with a little high grit sanding or buffing. Depending on the steel composition and original hardness, you should RC out at around 58-60.
If you start forging your files into blades you open up a whole new can of worms...too much to answer here.
I pretty much agree with Randy on the "cold roll". Normally local steel suppliers do not carry hi-carb cutlery suitable steels. If they don't know, it most likely isn't. It's best to buy your steel from a reliable source for cutlery steels.
I recommend Aldo Bruno the New Jersey Steel Baron, Kelly Cupples, or one of the reputable knife suppliers. 1080/1084 are the best to start with - simple , straight forward heattreating, and excellent blade steel. 1095 has a lot of variations and often causes problems even in the same batches. Aldo's has always been the most consistent for me. 1095 is also a bit more difficult to heattreat properly for the beginner. Stay away from the alloyed steels until you get a good solid grip on the basics of consistently completing a quality blade. You will learn faster and better understand what you need to learn to work with the more difficult steels.
Have fun.
There was a company that made knives out of files and I am not sure how they did it. Grinding a full hardened file needs to be kept very cool. If the edge turns blue then it has been overheated.
A lot of people will anneal the file, shape it, normalize it before heat treatment, quench and temper it back but if its not done right it can make a bad blade. A lot can go wrong!
I forgot to add. Make sure its not a ready made case hardened file as once you get below the surface its too soft to hold an edge.
Nicholson brand files used to work well but I don't know what they are made of now.
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