I use a cup bur with my Dremel. All I do is put the end of the ear wire into the cup and the bur files the wire to a nice smooth end. If you do not have a Dremel or Flex shaft, there is a nifty little hand tool that also works pictured below. A fine file will work, but is time consuming.
I make my ear wires with 20 gauge wire. That is the perfect size for most piercings. Choose a bur cup that is slightly larger than your wire. The best bur cup for that gauge wire is a 1.0mm. It is just large enough to get the wire into it nicely. If you use 18 gauge wires for your earrings, then use a 1.3mm bur cup. Note: make sure you get the ID measurement (inside dia) and not the OD (outside dia) or your cup will be too small.