Thirty minutes before grilling the steaks, remove them from the refrigerator and allow them to come to room temperature. Heat a grill with coals.
When the coals are hot, spread them out in the grill in one solid layer. Pat the steaks dry on both sides with paper towels and brush each side lightly with olive oil. Sprinkle them liberally with salt and pepper. Place the steaks on the hot grill and sear them on each side for 2 minutes, until browned. Place the lid on the grill and allow the steaks to cook for another 3 to 4 minutes, until they are cooked rare, or 120 degrees on a meat thermometer. (To test the steaks, insert the thermometer sideways to be sure you're actually testing the middle of the steak.) Remove the steaks from the grill, place them in one layer on a platter, and cover tightly with aluminum foil. Allow the steaks to rest at room temperature for 15 minutes. Slice and serve warm with the Stilton Sauce.
Place the Stilton in the bowl of a food processor fitted with a steel blade and blend until finely minced. Add the cream cheese, mayonnaise, sour cream, scallions, salt, pepper, and Worcestershire sauce. Process until smooth. Serve at room temperature.