Most vices won’t let you file a nut or saddle to shape. Their jaws are too wide and get in the way. Stew Mac make a special vice with tall narrow jaws to get around the problem. I haven’t tried it but I should think that it works fine. However, it’s quite unnecessary. A simple pair of wooden jaws does the job perfectly well.
The jaws in the photographs below were intended as a prototype. I was planning to make a pair of jaws out of gauge plate or aluminium sheet and wanted to check that I’d got the size about right and that the idea was feasible. It turned out that the wooden version worked so well that I didn’t need to bother.
As I hope can be seen in the photographs, the device is little more than a couple of pieces of maple about 5mm thick, hinged together at their lower ends with glass fibre reinforced tape.
Finely Strung 
One Comment
good thinking!!! :)