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Are you bringing the file into the workflow via an Input tool? If so, you can select the Configuration option "Output File name as Field" and choose field name. That will create a new column with the file name. You can then parse out the date. If the name will always be in the format you describe, then I would simply do a formula tool where the formula is Right([filename],8), call it "date_out_0", and then feed that into a DateTime tool using the custom input as dd.mm.yy.
It kind of depends on how you want your date formatted once you've extracted it, but you're right in that RegEx is the way to go here. I would recommend using a Formula tool with an expression similar to this: