Filet mignon's are already very tender but have a less noticeable flavor. They are best served with a sauce or compound butter. Marinating, smoking or wrapping them in bacon can add flavor. Cook them by grilling, broiling, roasting, or pan frying. Take the steak out and let it reach room temperature 30 minutes before cooking so it cooks evenly. The longer it cooks, the less tender it gets so most chefs cook it to medium rare.