Making your own picks is rather fun and quite addictive actually. It can be tedious but very gratifying.
Although a bench grinder or dremel tool can help speed the process, they are by no means a "must have". A couple of files and some sandpaper of various grits will do just fine and produce the same results. Just get very close to the shape you want using your files and the sanding process will do the rest. If your strictly working with hand files though, I too would suggest (as already mentioned) that you try using wiper inserts. Reason being- much less excess metal to be filed off.
My local junkyard lets me take a few for free every couple of weeks. But, if your hard up, go to Walmart and buy one for $2-3. One wiper will give you two inserts; enough for several picks and a few tensors. The brand with the widest inserts I've come across is "Anco".
I usually go to HomeDepot or Lowes for sandpaper. Your looking for the black stuff. What I buy is the
"Silicon Carbide Sandpaper-WetorDry" (
please, someone chime in if there's a better choice- I'd like to know too). As far as what grit: 200,400,600,800, and 1000 grit seems to be the normal progression most people use. Just to give you an idea, it might take you around 45mins - 1hr to sand one pick. Personally, I use the 200-800 grit dry, then finish off by wet-sanding with the 1000 grit. Normally takes me well over an hour, but then again, I'm a little obsessive

Hope this helps & have fun!