Prepare your Z-Grill (preferably with branded hickory or applewood pellets) or other wood pellet grill for indirect cooking at 225 degrees Fahrenheit.
Pat the filet mignon dry with paper towels and brush the steaks with oil.
Generously season both sides of the filet mignon with salt and black pepper. If using bacon, wrap one slice around each steak and secure it with a toothpick.
Insert the probe of your thermometer into the center of a steak.
Transfer both steaks to the grill grates, close the lid, and cook until the internal temperature reaches 110 degrees Fahrenheit. This will take about 20 minutes.
Remove the steaks from the grill and set them aside to rest.
Meanwhile, increase the temperature of your grill to 450-500 degrees Fahrenheit. Close the lid and let the grill come to temperature for 8-10 minutes.
Place the steaks over direct heat.
Reinsert the probe, return the steaks to the grill, and sear until the internal temperature reaches 125 degrees for medium-rare (5-6 minutes per side) or 135 degrees for medium (7-8 minutes per side).
Remove the steaks from the grill and rest for 5 minutes before serving.