Filing is definitely faster than stoning. Do as much as you can with files before graduating to stones.
Consider that the shape of the lock makes a difference. For a round-faced lock, I'd pick a soft stone that conforms with the surface. But for a lock with hard edges, or bevels, you will want to maintain the crispness of those edges, therefore a harder medium is best.
I like the Gesswein oil-filled stones the best. They are medium structure, they hold up quite well on hard edges, flat surfaces, etc, yet break down slowly to fit themselves to a contoured surface.
The grey moldmaker stones are quite good for rough stock removal.
Stoning a hardened frizzen is the worst. Lately, I have taken to annealing the frizzens, then filing them, which is much faster.