Even if you play 9's, you'll want to cut the slot with a .010" file.
I'd get the 10-56 set (which is what I have). You can easily do 9-42,10-46, 10-52, 12-56 whatever...
You cut the slot a couple of thousandths above the string gauge.
At least that's the way I was taught, but I'm sure opinions will differ.
As for the rigidity and file backers, I've not had any issues with even the two finer gauges of my files (.010", .013"). And that's using them in bone. They might have some benefit in the comfort of holding the file, but again, not an issue that I've encountered.
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