For the blue cheese dressing, combine the heavy cream, cream cheese, sour cream, Gorgonzola, and scallions in a large bowl and gently crush together with a fork. Set aside.
Preheat a charcoal grill until the coals are white. Rub both sides of the steak with 1 tablespoon (15ml) olive oil and season liberally with salt and pepper. Put the steak in the center of the grill and cook 6 to 7 minutes per side, turn 90-degrees once on each side. If the grill is too hot and the steak is cooking too fast, transfer the steak to indirect heat and cover. Remove the steaks from the grill and rest for about 10 minutes. Meanwhile, toss the arugula with the remaining olive oil and season with salt.
Serve the steaks with the arugula and the blue cheese dressing.