you said you haven't done one before, so imo, you should go the safe route-
here is my suggestion for a safe route-
around 1hr before going on grill, pull steaks out. lightly brush them w/olive oil. then dust with coarse salt and black pepper. do this all around(even if wrapped in bacon).
let them sit in this state on a counter while you get the grill ready.
(since this is WKC, I'm assuming you're gonna be doing these over charcoal in your kettle).
get your coals going good and hot(technique will vary depending on if you use a chimney, weed burner or other method for coal starting)
place coals on side of the kettle(if you have baskets, use one, if not, pretend you do and keep the coals in a similar state)
put the grate on and let it sit for at least 10min.
now it's magic time-
once the grate is heated, do a quick sear on the two flat sides of the steak. you want to get a good crust of oil/seasonings/juices, but you don't want to char the meat.
after your sear is done, move the steaks towards the middle of the grill and give them a few minutes per side(with one flip).
this should have your steaks near medium rare. then let them rest for at least 10min before serving.
if your filets are wrapped in bacon, follow the above instructions until the bacon is almost crispy all around. then let rest until the steak juices relax the bacon.