Making a file knife

Files are tool steel, typically SAE grade W2, or something with a similar chemical makeup.

They are heat-treated to 60 RC (or more, IIRC), which is what makes them able to cut metal.

This very high hardness makes them brittle (so don't drop one on a concrete floor!), and it also makes them impossible to drill with standard high-speed steel drill bits.

You can drill through hardened steel: I recommend a mill, and tungsten-carbide bits. The ones for glass or masonry would work, just watch your feed speed.

Otherwise? Heat the file until it's bright orange, and hold it at that heat until you can place a magnet against it, and the magnet will not stick.

At that point, bank the fire, so that no air can get to it, and allow the whole mess to cool on it's own to room temperature. This may take several hours, and that's good: you want to cool it slowly.

When you remove the file from the fire, it should be annealed, and you can check it by trying another file against it. If you can remove material from the file that was in the fire, it's soft enough to drill through.

A magnet is the surest way, but you wouldn't have to. Once the whole piece reaches orange heat, it's gone through the phase transition, and as long as you cool it slowly (50 degrees per hour is good), it will remain annealed.