Easiest way is to use "Python" handles - wooden handles with an internal steel spring. Easy to fit and solid (so long as your file tangs are straight and the correct taper)
Avoid plastic handles - they're nasty and always wobble.
Danish oil is a good finish for wooden file handles.
Very hard to do accurately.
Yes. Traditional way.
Wrap the file in leather or cardboard and clamp it upright in a vice, with the toe resting firmly on the shank of the vice.
Heat the tip of the tang until it just thinks about glowing. Quickly plunge the handle over this and hold it there while it burns in. Remove it quickly, before it jams. Don't stab your hand into a red- hot file tang, it makes you feel a right eejit.
Repeat. Half dozen times. Heating is easier than hammering.
When it fits, drive the handle properly home. Use a mallet, not a hammer. Only do this if the file is securely anchored against flying sideways, and the teeth won't get munched. If you don't have a big enough vice with a flat shank, hold the file loosely in a gloved hand instead and wallop downwards against a log-end or previously abused benchtop.
If you burned it enough, you won't split it.