Hmmm. Might do in a pinch for the larger slots, but looks like it makes heavy going on that scrap wood. You need teeth that cut, not just chip bits off.
Not that I have ever made nut files out of feeler gauges (nor have any intention of ever so doing) , but if I were ever to contemplate doing so, it seems kind of axiomatic to me that it would be far more effective to clamp the six gauges ( or whatever number you want) into the vice all at once, and use a jeweller's file to notch the teeth, instead of doing one at a time using a hammer and chisel, which will almost certainly result in massive deformation of the thinner blades.
If you are going the home-made route, then guitar strings of appropriate gauge in a metal frame under tension will cut nut slots effectively for the wound strings, but StewMac nut files do the job even better.