You could try getting a high speed quenching oil, such as Parks 50, which will run you about $225-$250 for a five gallon can, or if that's too rich for you right now you could always try very warm brine solution. Stick the blade in the quench tank or about eight to ten seconds while moving it up and down to break up the vapor jacket. Then remove until cool. That way the steel of the blade will move from just under the martensite start line and move slowly to the martensite finish, also listed as martensite 90% line. This will lessen the stress formed in the steel if it were completely cooled in the brine. Just be aware that you will have more quenching failures (read broken blades) with brine than you will have with a high speed oil.
As Ted stated, it will also depend on what you start out with. An older file, or a high quality newer one, will be out of something like 1095, W1, or W2 will harden. Cheap files won't have enough carbon in them to form enough martensite to produce a hard blade.