Cut Into Steaks: DO NOT cut steaks that are smaller than 1 1/2 inches in thickness because they will cook too quickly and you will most likely overcook them. The ideal thickness for a filet mignon is between 1 1/2 and 2 inches in thickness. Cut the tenderloin center into steaks with a sharp knife using a sharp knife. You now have steaks that are ready to be grilled on your stovetop.