I keep mine in one of the drawers in my tool chest. I have wooden handles on them all, and store them next to each other alternating handle/blade/handle/blade so that the teeth don't rub against one another. I have never had problems with rusting. Just keep them dry, and they should be fine. Another method I have heard of is to use a knife rack (the kind that lays flat, with slots to store the knives vertically. Besides water, you want to keep them from rubbing against each other, or other hard things (glass, carbide, tool steel).
I have one file that is about 15 years old now. Not as sharp as it once was, but no rust, and still useful. They can last quite a while if you are good to them.