If you anneal it, you will need to get it hard again once you've finished the knife, otherwise you'll end up with a soft one that won't keep an edge. I've read where some guys take the grinding very slowly with a bucket of water nearby so as not to heat the file up and lose its temper. That way, they didn't need to anneal it to start with-never done it, just heard other guys have. I know Sticshooter on here (Resurrected Blades) does a lot of file knives. He might be able to give you some good advice, too.
Good luck, hope it all works out for you.
Jeremy