Bring the steaks out of the fridge at least 30 minutes prior to cooking or up to an hour.
If you have an hour before cooking, go ahead and season the steaks with salt and pepper. If not, salt and pepper right before putting on the grill.
Preheat your grill over medium high heat for at least 15 minutes. The ideal temperature for grilling filet mignon is 450-500°F.
After cleaning the grates and right before putting the steaks on, brush on oil with folded paper towel over the grates.
Place the steaks on the grill and close the lid. Cook for about 5 minutes. If you want nice diamond grill marks, rotate the steak about 90° after about 3 minutes.
Then flip the steak on other side and cook for another 5 minutes or so, or until desired doneness.
Use a meat thermometer to check the internal temperature. For medium rare finish, remove the steaks when they reach 125-130°F internal temp. Transfer the cooked steaks onto a platter, cover with foil and rest for at least 5 minutes, preferably 10 minutes, before serving. This step is crucial for juicy steak, so don't skip it!
Serve with horseradish mayo sauce for dipping.