The way I parse time in this sense varies. I adjust based on the server or workstation on which I'm placing the batch file. No, this isn't very portable in that sense but it's easy enough to adjust.
If your short-date format is mm/dd/yyyy the easy way is
SET DT=%date:/=-%
ECHO New File > %DT%.txt
This makes the "/" in the short date a "-", which is compatible with file names.
For most server applications I go the extra mile and break out the MM/DD, etc.:
SET DD=%date:~0,2%
SET MM=%date:~3,2%
SET YY=%date:~8,2%
SET YYYY=%date:~6,4%
SET DT=<your desired combo of month, day, year>
ECHO New File > %DT%.txt
At that point it's very easy for me and avoids using FOR
loops that parse dates and times to work regardless of location or regional settings. Which is not important to me.
This is essentially what is in this link, provided also by foxidrive. SO has a number of options.