I've struggled with that as well. I have no drawers available, so currently I do much as the guys above do, on the wall. The bigger ones are in a strip of wood with a hole to fit the ferrule of the handle, then a notch cut to it. The file will stay there without falling out, and must be lifted up before pulling it out.
The smaller ones below them just have holes. The wall is all OSB panels and I can screw things anywhere I want, so I just drilled and screwed the rack directly to the wall. The needle files are in blocks of wood with holes. Just last week I got tired of trying to find the one I wanted in the single miniature forest with all of them in it, and separated them into separate blocks by shape.
I look forward to other ideas, as this does take up a lot of wall space, but I can see the one I want at a glance and get it. I kinda have them sorted by cut on the rack, coarser to finer, to make it a bit easier. I'm about to run out of room though.
The heavier ones have fallen out of the handles at times if dropped in the rack too hard, but it's a ways from any work on the bench so no harm except sometimes to the handle below.
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