Place the mushrooms and shallot in food chopper and pulse until the mushrooms are finely chopped, or finely chop the shallots and mushrooms by hand.

Generously season the beef filets with salt and freshly ground black pepper. Pre-heat a medium sauté pan over high heat for a minute or two. Add 2 to 3 teaspoons of olive and sear the beef filets on both sides – about 1 to 2 minutes per side and no more. Transfer the seared filets to a plate and set aside.

Add the butter to the sauté pan and sauté the mushrooms and onions. Cook until the vegetables are lightly browned, resisting the urge to stir them more than just a few times. Deglaze pan with sherry, scraping up any browned bits in the pan. Add the Worcestershire sauce and thyme. Cook until mixture is dry and then allow it to cool slightly. Season to taste with salt and freshly ground pepper.

Pre-heat the oven to 425°F.

Roll out the puff pastry to a 12-inch square. Cut the pastry into quarters and divide the mushroom mixture between the four squares. Place the fillets on top of the mushrooms. Pull and fold the puff pastry up and around the filet, pinching the seams shut by folding the dough onto itself. Turn the individual beef Wellingtons over so that the seam is on the bottom and transfer to a baking sheet. Brush the outside of the dough with the egg wash and if you like, decorate the top with extra pastry or by scoring the pastry with a paring knife in a cross-hatch design.

Transfer the baking pan to the oven and bake for 16 to 20 minutes until the puff pastry has browned and the meat reaches an internal temperature of 135°F for medium rare, 140˚F for medium or 150˚F for medium well. (You can check the internal temperature of the beef by inserting an instant read thermometer through the pastry and into the filet.) Let the Wellingtons rest for 5 minutes before serving warm with side dishes like rice and vegetables.