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For the steaks: On a baking sheet, lay out a sheet of plastic wrap, then unfold a piece of cheesecloth on top. Place the steaks on the cheesecloth. Fold a thin layer of the cheesecloth over the steaks, then top with the blue cheese. Fold over the plastic wrap to secure the cheese on top. Refrigerate the wrapped steaks overnight.
Let the steaks sit at room temperature for 20 minutes.
Unwrap the steaks; reserve the blue cheese for the sauce. Pat the steaks dry with paper towels.
Heat a cast-iron skillet over high heat. Season the steaks with salt and pepper on both sides. Once the skillet is hot, drizzle in the canola oil. Add the steaks and sear for 5 minutes on one side. Flip the steaks and cook for 2 minutes. Lower the heat to medium, then add the butter, thyme, rosemary and garlic. Use a spoon to baste the melted butter over the steaks as they cook. Cook for 3 to 4 more minutes for medium-rare doneness. Let rest on a plate for 5 minutes.
For the blue cheese sauce: In a small saucepan over medium heat, melt the butter. Add the shallots and cook until golden brown, 2 to 3 minutes. Stir in the cream and Worcestershire sauce and cook for 1 minute more. Add the salt, pepper and reserved blue cheese and stir well. Just as the cheese begins to melt, remove from the heat. To serve, spoon the sauce over the steaks.
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