Wirespokes, I ended up just getting a new nut since they are so inexpensive. However, I'll keep your thread file idea in the ol' mental inventory. Might come in handy in the future.
Disco, I'd say the tool is worth getting and the anti-seize worth applying. My finned nuts came off without too much trouble, but the bike also had very low miles on it. Lots of penetrating oil, maybe some heat cycling, and tap on the wrench with a rubber mallet.
The exhaust will come out without fully removing the nut (and I was just painting the exhaust), but I figured I'd do it properly now and get anti-sieze on all the threads and never worry about it again, except for yearly greasing.
If you ever need to remove a cylinder, replace an exhaust piece (I suspect crossovers are the first to go), or pull the engine, that exhaust is going to have to come out. Why risk cutting the nuts and mucking stuff up in the future if there is a chance you can get them off cleanly now and give em some proper lubrication? That wrench is cheaper than two nuts and a cold chisel... and you won't get stuck waiting for parts in the mail when your old finned nuts are seized in place and have to be cut off.