It's tempting to file "in the air"! But it's not efficient.
It is more effective for me to put the piece I'm filing on the bench block or bench pin, hold it in place with my nondominant hand and file in one direction with my dominant hand.
In my opinion, this makes the filing more productive. When I "air file", the file pushes the piece and it moves slightly rather than giving resistance. While you might not notice this on a lighter gauge piece of wire, you should definitely see a difference when filing a piece of metal.