Preheat the oven to 400°F (200°C).

Cut the tenderloin into 1-inch (2.5cm) cubes and thoroughly dry each piece with a paper towel. Cut the bacon strips into 4-inch (10cm) long strips. Wrap the cubed steaks with the bacon and secure with a toothpick. Generously salt and pepper the steaks on each side.

Cooking Method 1: Heat the oil in a skillet over medium high heat. In 3 batches, sear the steaks for no more than a minute on both sides (non-bacon sides). Place the steaks on a baking sheet on bacon side. Bake for about 2 minutes, turning from one side to another, until the steaks reach the desired doneness (125°F for rare, and 145°F for medium), about 2-3 minutes.

Cooking Method 2: Heat at least 3-inch of oil in pot to 350°F (175°C). Deep fry the mini filet mignons no longer than 2 minutes. Remove onto a wire rack.

Top the mini fillet mignons with blue cheese and serve immediately.