In reply to Blizzard: Most picks are made from chromoly steel. Looking at your profile, I guess you know already, but there's no err... point in getting the tips sharper than a ball point pen.
Personal preference - I try and avoid filing tips as much as possible, maybe use a sharpening stone. For hard ice, I find it quite useful to sharpen the top of the blade to make it easier to yank the tool up and cut the ice.