Take the steaks out 30 minutes before cooking and season with salt and pepper on both sides. Set aside.
In a 10-inch cast iron skillet heat 2 teaspoons EVOO over medium high to high heat.
Add the steaks, spacing at least an inch apart from each other. Sear each side for 1-1.5 minutes, then remove to a plate to chill in the refrigerator while preparing the next part.
Clean mushrooms and slice, then chop shallot. Add both the bowl of a food processor and chop until almost pureed.
In the same skillet used to sear the meat heat the Tablespoon EVOO and herbed butter over medium heat. Add the mushroom paste and sautee until the moisture has cooked out, about 10 minutes.
Add the sherry and cook until the moisture has, once again, cooked out, about ten minutes, stirring often. Remove from heat.
Lay out 4 pieces of plastic wrap and lay out 2 slices of prosciutto in the center of each piece of plastic wrap, overlapping them slightly.
Divide the duxelles (mushrooms/shallots) evenly and spread over the prosciutto.
Remove the steaks from the refrigerator, place one in the center of each prepared prosciutto and, using the plastic wrap to assist, wrap with the prosciutto. Wrap tightly with the plastic wrap and stash in the refrigerator for 20 minutes.
Preheat oven to 400 degrees Fahrenheit. Line a rimmed baking sheet with parchment paper and set aside.
Divide the thawed puff pastry into 4 portions and roll them out, if necessary, to accommodate each steak. Cut squares off the corners so you're left with + signs. Set aside scraps to be cut into small shapes for accents, or saved for another project.
Remove the plastic wrap from the steaks and place one in the center of each piece of puff pastry. Gather the ends so the steaks are wrapped entirely in puff pastry. Place on the prepared baking sheet.
In a small bowl, whisk the egg for 1 minute. Seal the edges of the meat parcels using a little egg wash, then brush over the steak packages. Adhere any cut-out accents and brush those with egg, as well.
Place in the freezer for 20 minutes. Save the remaining egg in the fridge.
Remove dough packages from the freezer and apply egg wash to the dough packages again.
Bake for 20-25 minutes, or until pastry is golden in color.
Let sit for 5 minutes before serving.
While I have noted this serves 4, you can (and probably should) split each one into 2 servings, resulting in a total of 8 servings that are enough with side dishes. No one will feel skimped on.