Spent the first 12 years of my working life working as a fitter for the Royal Navy and a file was our go to tool. I always had several in my tool bag and I can't say that rust was ever a concern. As for lubricating a file with anything, not heard of that before, if the teeth ever got oil in them then they would clog much more quickly so I would not advise it. Rubbing the file face with a little blackboard chalk was the best way to keep a file free of bits with a regular cleaning with a file card, a wire brush would do. If i were to be doing a lot more fret dressing with brass and stainless frets I would keep two sets of files as both metals affect the file differently and if you use a file on brass that you've used on steel you may have cutting problems.
Andrew, that aerosol sounds like TriFlow? I use ProCut on my nut files when cutting bone. Works well. I brush clean my files every few strokes working on frets. ... oh ya, never had problems with rust. Keep everything in tool chests.
Thomas, if you are filing a lot of bone I would be tempted to get a set of files just for that. I know when I was workshop based I would have a set of files for mild steel, brass and aluminium as each material puts a different edge on a file and if you go from one metal to anther the cut is not so good; especially for the finer files. As for rust prevention the odd wipe down with an oily rag does the trick