Preheat oven 425 Degrees.
1. Combine oil, salt and pepper and lightly brush filets on all slides. Pan sear filets in a very hot pan to brown on all sides. Set aside to chill. (Can be made up to 24 hours in advance.)
2. Sauté mushrooms and shallots in butter until golden brown and dry. Transfer mushrooms to a bowl and cool.
3. On a lightly floured board roll out pastry into an 18x12 inch rectangle. Cut into 6 6x6 inch squares. Place 1 Tablespoon, gorgonzola in the center of each square. Top with 1/6 th of the mushroom mixture and 1filet steak.
4. Brush edges of pastry with egg was and bring edges up to seal in the beef. Place pastry seam side down on a parchment lined sheet pan and chill until ready to bake. (Can be well wrapped and kept for up to 24 hours at this point.)
5. Brush wellingtons with egg wash and make a slight cup in the top to allow steam to escape. Bake wellingtons 22-25 minutes or until golden brown. Serve hot.