So how did it turn out?
I've had mixed results with file knives, and I've tried it different ways. Some files aren't hardened all the way through, so when you grind into the middle of them, they're not hard, and they won't get hard.
The advantage of annealing them first is that it makes it easier to drill tang holes. But if you just want to temper and grind, you can always wrap the blade in wet rags and use a blowtorch to soften the tang before drilling holes.
With some of the file knife I've made, I tempered them, ground them, then used a cord wrap for the handle so I wouldn't have to drill holes.
I made a Bowie knife out of a farrier rasp without annealing it first. In that case, I did a through tang, and all I had to soften was the very end so I could cut some threads for the pommel nut. I did temper the blade, though.