DC, thanks for the info on the saw blade - helps to know what the proper nomenclature is!  I have been drilling a 3/32 pilot hole, then using an exacto blade to open up the slot before filing, usually with diamond needle files.   I do use a sinew wrap to strengthen the nock, and sometimes a silk thread decorator wrap.  Set up a jig in a block  of maple that works pretty good on straight shafts, only semi good on shoots.
Hawkdancer