Probably one of the simplest filing rests that one can make, is something like the one I made for my Unimat a few years ago, based on an idea in another forum.
Here are two views. Partly disassembled and assembled.

To use it, simply mount it in the lathe toolpost rotated about 30 to 45 degrees from the vertical. The crosslide is then used to adjust the filing depth. This photo of it being used to file a flat on the end of a rod should make it clearer.

Although it doesn't get much use, it is handy on occasion, and far faster to set up than setting up the milling attachment.
I have subsequently made two changes to it since the photos were taken: I replaced the socket head screws with countersunk screws allowing it to get closer to the chuck, and I also reduced the diameter of the thick washers which hold the rollers on and also act as a stop for the file as they limited the maximum diameter of the work piece.
Clive