The
Bikesmith cotters Zaphod mentioned are a lot better than the Chinese things. Either way though I cannot imagine not filing the flats -
Filing ensures that the cotter seats adequately, but it also helps to effect more contact area with the flat on the BB.
Once driven home, this wider, flatter surface to surface wedging helps prevent the cotter from backing out.
I use a good quality, flat mill file to do this. I am sure that if I left the convex surface of the new cotter unscathed, it would back off more easily.