Rambling backgrounder -- sorry: these are typically called 'reciprocating saws', though the Kleenex of the bunch is the Sawzall (r) by Milwaukee. (edit to say that will only be a meaningful statement to people that read the edit history of the original question...)
While there are many different tooth profiles available in reciprocating saw blades, a typical one will look a lot like a normal sawblade. You could google 'sharpen a handsaw blade', and you'd get an idea of how to do it (flatten, sharpen, set, if memory serves, but I could be very wrong).
Except that the teeth are typically smaller and more closely set. So most people I know consider these blades to be consumable and disposable.
The only other advice I can offer is to avoid overheating the blade while cutting -- this seems to dull more quickly. Use all of the blade's sharp parts... in other words, use up the teeth near the shoe, then use the end teeth for something like a plunge cut.