Write header and data using same file object

[alexdewar]

Currently a call to write() entails the following:

• Open file, write header, close file
• Open file, write data, close file

It'd be cleaner to just open the file once and pass this file object to the various write*() functions. This will bring a (likely minuscule) performance benefit, but the main reason to do it is just to make the code clearer.