Why do my files get lost when migrating a CCK Filefield?
Have a look at the Video about Upgrade Drupal6 to Drupal7 using the MIGRATE module. You're probably familiar already with many of the things shown in it, but it also provides some other interesting tips about things like:


Before starting the migration, make sure your current Drupal 6 site is in good shape (like update your contributed modules to the most recent D6 version first).
If you have a lot of files (attachments) to be upgraded also, it might be possible to do that part without using the migrate module.
If you have a possibility to create a (temporary) subdomain for your Drupal 7 version, that will speed up the migration execution quite a lot.


Especially bullet nr '2.' above may be worth experimenting with. In the video it is shown starting from about 12:05 (and the "Step 4: Files" screen provides some more details about what your options are here). Later on in the video, starting from about 15:45, you can see that the "image placeholders" (pointing to some files) are already OK. So afterwards you just need to copy those files to the right spot, using FTP or something. 

So try running migrate with that option for Step 4 "unchecked" (turned off)!