To prepare the stuffed filet mignon with red wine sauce and cheese recipe, you'll need: Filet Mignon: Preheat the oven to 450?F (232?C) and brush the inside of a deep-fryer with olive oil. Season the steak with salt and pepper to taste. Heat the oil in the skillet over medium-high heat until shimmering. Add the cutlets and cook, turning occasionally, until browned on both sides, about 4 minutes per side. Remove from the heat and let rest 5 minutes before serving.