I said "hmmmm" once upon a time and went ahead and bought the sets the guy sells on ebay made out of feeler guages. I didn't realize that they were simple notches cut into feeler guages and not really saws.
They didn't cut very well. And he didn't round the edges. Wound up breaking down and buying a set of Stew Mac's files anyway.
I suppose someone who's a better fabricator than I could do a better job, but I think the good nut files I bought were worth the investment.