Melt Challenge Butter in a saucepan over medium heat. Add shallots and cook until softened but not browned, about 3 minutes. Stir in flour and cook 1 minute. Whisk in wine and cook, stirring, until thickened and alcohol has cooked off, about 5 minutes.
Whisk in heavy cream, salt and black pepper; bring to boil and reduce to a gentle simmer. Cook until thickened, about 5 minutes. Reduce heat to low and add half the blue cheese; stir until completely melted.
Stir in Worcestershire sauce and remove from heat. Keep warm while you cook the steak.
When ready to serve, stir in the remaining blue cheese chunks. Taste and add more salt or pepper if needed.
Preheat oven to 250°F. Line a rimmed baking sheet with foil and place a wire rack over top.
Season steaks all over with Kosher salt and black pepper; place on prepared rack. Place steaks in the oven and cook until an instant-read thermometer registers 115°F for medium-rare, 125°F for medium, or 135°F for medium-well, 25-40 minutes depending on steak thickness.
When steaks are close to reaching desired doneness, heat 1 Tablespoon oil in a large cast-iron pan over high heat.
Add steaks and Challenge Butter and cook for 2 minutes, until a deep brown crust is formed. Flip steaks and cook another 2-3 minutes, or until internal temperature is 125°F for medium rare, 135°F for medium, or 145°F for medium-well.
Serve right away, spooning blue cheese sauce over top.
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