I have not tried it personally but a part time local luthier told me that you can leave them flat, especially if stringing the instrument with flatwound strings.
I usually use a triangle file and make just file enough of a scratch in the top of the saddle to keep the string from drifting around.
If it becomes an issue later I'll take my nut files to the saddles and make grooves to half the depth of the string and canted down slightly towards the string anchor.
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"It's a Crapshoot." The timbre is in the timber. It's a poor craftsman that blames his tools.
I've done it two ways... a plain old Metal file, and with a Dremel Tool with a small bic pen shaped grinding bit.
Personally I feel I got better results with the Dremel as I could easily control the width of the slot with the wider part of the Dremel bit. Probably best to start the slot with a file though to keep yourself from creeping.
