I had a need for a dozen or more small files for only a few hours.
Rather than pay out for tools that would then become unused clutter, I decided to make a set cheaply enough that I wouldn't mind throwing them out when they weren't needed any more.
Step 1: Materials
There are very few things needed:
Step 2: A Ripping Time
Rather than cutting the sandpaper, which might have damaged any blade I used, I just folded and tore it.
I was using cheap sandpaper; if you use better-quality paper, it might prove harder to rip neatly.
The sheets tore into four strips that were conveniently the right width to cover half a piece of dowel, and then into small rectangles that wrapped around the dowel once.
Step 3: Wrap It Up
Smear the back of the paper with a generous amount of glue. PVA is the basis of both craft and wood-glue, perfect for fixing paper to wood.
Wrap it around the dowel, then tape in place until it dries.
Step 4: Done
I didn't time myself, but, apart from drying time, a full set of files took about 30-40 minutes.
Something to remember is that they are still sandpaper at core, and have the same limits - they clog very easily on green wood. If you are going to use them on green wood, you need to replace the cheap sandpaper with proper "wet and dry" abrasive paper, and a glue that will put up with being dipped and swirled in water during use.