Should enums in C# have their own file?

I wouldn't say "wasteful" (how much does an extra file cost?), but it is often inconventient. Usually there's one class that's most closely associtated with the enum, and I put them in the same file.

This is really just a matter of preference.

I prefer to put each enumeration in its own file (likewise for each interface, class, and struct, no matter how small). It makes them easier to find when I'm coming from another solution or otherwise don't already have a reference to the type in question.

Putting a single type in each file also makes it easier to identify changes in source control systems without diffing.

This is entirely a matter of style. What I tend to do is to have a file called Enums.cs in the solution in which the enum declarations are collected.

But they are typically found through the F12 key anyway.