I agree with Murkat and Jeff R, we always have an assortment depending on the job. I like the StewMac U shaped that are sized for the string gauge on electric guitars, and the Hiroshima files for acoustics. The .010" gauge file is very flimsy and easily broken, use 2 hands. X-Acto has a small back saw that I use to start the slots.
The most important part is not how you cut the slot, but cutting the correct angle, not gouging your peg head in the process, getting the spacing correct, and then not cutting a slot too low else you will be starting over.