Wrap the bacon around the filets mignons. Secure the bacon with a toothpick.
Rub olive oil on the filets and season with sea salt and fresh ground black pepper.
In a heated skillet, sear filets on both sides. Once seared and once Brio is preheated, place filets in the Basket of the Brio. Insert Probe into one steak. Set Probe to 125°F.
Cook until internal temperature reaches 125°F for medium-rare. The Brio will turn off.
When done, remove steaks and let rest 5 to 10 minutes.