Everything Greg says is good advice.
I keep an assortment of both double and single cut files on hand. The double cuts are for rapid material removal, so I generally get *******s in double cut only.
I keep 2nd and smooth cut files in 8", single cut. My *******s are in both 8" and 10". I also have a set of *******, 2nd, and smooth cut 8" round files, which some in handy a lot. I generally buy American pattern mill files. I like half round *******s, but always buy flat 2nd and smooth cut.
I rub chalk in my files before use to help keep from loading them up. This works pretty well, although it's not perfect.
Ryan