It's odd: Although almost every file manufacturer warns you not to use their files without a handle, none of them supply one. It's sort of like buying a table saw that doesn't come with a blade guard; go figure. The point is, you really should use a handle when using a file, because the tang is a rather nasty bit of work. It's sharp, often covered with burrs, and generally painful to hold in your hand. I admit that some of my files don't have handles, but I have taken the time to remove any burrs and soften the edges.
My example notwithstanding, it's a good idea to fit every file and rasp that you own with its own handle. These can be bought for little at most hardware stores, or you can easily make your own. If you're a turner, you can get fancy (
drawing below).
Otherwise, a short length of dowel will do—anything is better than nothing. NOTE: To prevent the handle from splitting, it's a good idea to add a metal ferrule; a short length of brass or copper pipe works great for this.