Whisk together and let sit for at least 30 minutes.
Preheat grill to high.
Combine spices in a bowl. Season the steaks on both sides with more salt and pepper. Rub 1 side of each steak with the rub and drizzle with oil. Place on the grill rub side down and grill until slightly charred and a crust has formed, 2 to 3 minutes. Turn the steak over and continue grilling to medium-rare doneness. Remove from grill and let rest 5 minutes. Serve with steak sauce on the side.
Piquillo peppers are available in jars or cans at specialty stores. To puree, simply drain and puree in a blender.