I like to do filets on a very hot grill and add a slice of Stilton to the top near the end, just long enough for it to melt. Excellent alternative to doing a sauce (in which case I prefer au poivre).
I do exactly this. I have a separate smoker but you could do it with one grill. Smoke at very low temps straight out of the fridge till the steak reaches about 100 degrees, then throw it on a raging fire or hot pan inside and cook to temp.