I buy the cheapest blades I can, and use whatever dremel/hand file combo is around.
"How's that?" you inquire.
Well, I play with the temper. In the Pyro video, Pyro keeps the original manufacturers temper pretty much the entire way through the process (except for parts of the torque making).
I like to normalize the blade right off the bat, making it MUCH easier on my tools. This is basically heating the blade to red hot, and letting it air cool.
I then shape my tool with the nicest, softest material on earth (almost like nerf

j/k).
Next step, once shaped, is to heat to cherry red hot again, and dunk in a vat of water. This step is tricky because you can add a bend to the pick that you might not like... Practice a bit before you try it, if you do. At this point, the pick is VERY brittle, so don't even bend it a few degrees!
Next come tempering. I like to heat my picks up to a nice deep to azure blue, which gives it a super springy kinda feel. You can experiment with different temper colors.
If interested in tempering, PM me, or research the process on GOOGLE. I highly recommend it, as it is useful in many walks of life...