Prepare the barbecue for direct cooking over high heat (230°C to 290°C). Place a Weber frying pan onto the barbecue to preheat.
Measure the thickness of the steaks and cut the bacon into long strips, the same thickness as the steak. Wrap the strips of bacon around the steaks and secure with kitchen string or bamboo skewers. Dice any excess bacon and set aside for the sauce.
Lightly drizzle both sides of the steak with olive oil, and season with salt and pepper.
Barbecue the filet mignons over direct high heat for about 3 to 5 minutes per side, or until cooked to your liking, keeping the lid closed as much as possible.
While the steaks are cooking, add the butter, garlic, excess bacon and mushrooms to the frying pan. Sautee for 3 minutes, stirring with a silicon spatula or wooden spoon as needed. Add the Worcestershire sauce and cream, cook for a further 3 minutes, or until bubbling, keeping the lid closed as much as possible.
Remove the filet mignons from the barbecue and leave to rest for 5 minutes before slicing.
Serve the filet mignons with the mushroom sauce.