Take the steaks out of the fridge and season liberally with salt and pepper on all sides. Allow to rest at room temperature while smoker gets to temperature.
Place the steaks in the grill and smoke for about 1 hour or until the internal temperature is 10°F from your desired doneness. (Rare = 120°F, Medium-Rare = 130°F, Medium = 140°F, Medium-Well = 150°F, Well Done = 160°F)
Heat a cast iron skillet to medium-high heat and add butter. Sear steaks for 1-2 minutes per side or until you reach your desired temperature. If using a pellet smoker, you can increase the temperature to 450°F and sear for 1-2 minutes per side.
Notes
Use oak, hickory or mesquite for smoking. You want a good hard wood for the smoke flavor.
Let the steak come to room temperature before smoking. Best way to do this is just take out while preheating the smoker.
Liberally salt and pepper the steak as it draws out some of the moisture which is reabsorbed back in.
Let the filet mignon rest for 5 minutes after cooking so it doesn't lose its tasty juices.