Using a medium cast iron skillet, add 2 slices of bacon. Place over medium-high heat and cook until crispy. Transfer bacon to a paper-towel lined plate and pat dry. Finely chop bacon. Reserve 2 Tbsp of bacon fat in the skillet.
Using a small mixing bowl, add chopped bacon, blue cheese, butter, sun-dried tomatoes and parsley; stir until well combined.
Place butter on a sheet of wax paper and roll into a tight log. Twist ends to tighten and then freeze for at least 30 minutes.
Wrap the remaining 4 pieces of bacon around the filets, securing with toothpicks. Sprinkle salt and pepper on top of the filets.
Place skillet over medium-high heat until hot. Once hot, stand filets upright in skillet so that the bacon is touching the bottom of the skillet. Cook, turning often, until bacon is crispy.
Lay filets flat in skillet and cook until desired degree of doneness. (Note: Remove steaks at internal temperature of 130°F for medium-rare and 140°F for medium.)
Let filets rest for 5 minutes. Slice butter and place on top before serving. (Tip: Remove toothpicks before serving, too.)