question for SE pros...
 

do file names (for images, html pages, etc) help at all in SE listings?

most definitely..

so naming a series of pictures "xxx_teen_01.jpg, xxx_teen_02.jpg, etc" is better than "img1.jpg, img2.jpg"?

or would doing something like that be considered cheating?

Not cheating..good page optimization.

I avoid using numbers in file/dir names. I'm not sure it's necessary now, years ago AV penalized numbers and I got in the habit.