Season the steaks with salt and pepper. Heat a splash of neutral oil in a heavy-based frying pan and quickly sear the steaks in batches of no more than two. Cook over high heat for around 30 seconds, until each side is lightly sealed. It’s crucial to avoid overcooking at this stage. Remove from the pan and leave to cool down on a plate.
While the steak is cooling, make the mushroom duxelle by heating the butter and a splash of vegetable oil in a large frying pan. Once the butter has melted, add the chopped shallots and fry over low-medium heat, stirring often, for around two minutes until translucent.
Add the chopped mushrooms to the pan and continue to cook, stirring often. Cook for around 10 minutes, until the mushrooms have softened and most of the excess moisture has evaporated. Reduce the heat to the lowest possible and stir in the cream. Continue to cook for another minute or so.
If you’re not using pre-made crêpes, prepare four thin pancakes using your preferred method. Place each of the crêpes on a large square of cling film. Spread each of the crêpes with a quarter of the mushroom duxelles.
Pat the fillet steaks dry with some kitchen paper, then place in the middle of each crêpe, on top of the mushroom duxelles.
Roll the side closest to you over the meat, to encase within the crêpes, then wrap tightly in the cling flim and transfer to the fridge for around 30 minutes, until completely cold.
At this point, pre-heat the oven to 180C/Gas 4.
Roll the pastry into a large rectangle (approx. 3mm) thick, then cut into 4 rectangles large enough to cover each of the wrapped fillet steaks. Brush the pastry with beaten egg yolk, then place each wrapped beef fillet onto one side of the pastry. Fold over then firmly press down to seal.
Trim the excess pastry edges, brush the tops of each wellington with a little more egg wash and place in the fridge to cool for 10-15 minutes.
Place the wellingtons onto a baking tray lined with grease-proof paper and add one shallow slit to the top of each. Place in the oven and bake for 20-25 minutes until the pastry is golden. Remove from the oven and rest for 10 minutes before serving.