Ah, the tedious job of filing ones nails.
I have found that filing with polish on is easier for a few reasons. It makes the shape if the nail easier to see, and it adds a little bit of sturdiness to thin nails.
You definitely do not want to file back and forth in a see-saw motion. This really shreds the edge of the nail and makes it more prone to peeling and breakage. It can be tedious to file in all one direction but after a while you get good at it.
You can use a fine sanding block to seal the edge of the nail plate when you are done shaping your nails, by running the filing block gently over the tip of the nail from the top and over the tip in a downward motion. It only takes a few swipes to seal the edge of the nail.
In terms of shaping the nail, I file mine in a square shape, but I slightly round off the corners.