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One time I finished a minute item and exhaled, and it was gone.
Ahahaha.. that made me laugh. Fortunately there were no small components in front of me. My theory is that sometimes these things either don't hit the floor but disappear into your clothes, or else they stick to your shoe and get crushed to nothing immediately you stand up to look for them.
I was in a craft shop recently looking at beading stuff and noticed that they do these special sticky mats, so that stuff doesn't get lost. They also did these amazingly thin bent pointy pliers as well as what are essentially sprue cutters. I managed to put them all down and then got distracted and forgot to take them to the till...
Anyway, I was wondering about what you're using to thin the part down with. I've kind of noticed sometimes that metal files can have too much of an abrasive effect and seem to pull the plastic apart once you get down to this size - the styrene has a kind of grain that starts to get kicked up and can tear. I've probably bored you with it before, but have you tried a glass nail file? Unlike small metal files they don't flex at all and are super-flat, and the etched-in abrasive texture is very fine, yet being glass is still very effective. Due to the size it is very suitable for keeping flat on the bench, with the component moved against the file using one finger. I have just found it easier to control and more effective and accurate than metal files or emery paper.
If you don't get on with it you could always wash it off and give to someone else...