Remove the steaks from the refrigerator about 15-30 minutes before cooking. The closer the steaks are to room temp, the more evenly they will cook. Slice the onion into stips. Set aside. Preheat the grill to high heat.
Use 2 tablespoons of butter to rub over the 3 steaks (both sides). Sprinkle some ground pepper over both sides. Place steaks onto preheated grill and cook for 3-4 minutes per side or until desired temperature is reached. I like my steaks medium-rare so I cook to 130 degrees. Remove the steaks from the grill and let them sit UNTOUCHED while make the onion sauce.
Add remaining butter to a large pan over medium-high heat. Once melted, add sliced onions. Cook until they begin to char a little, about 8-10 minutes. Once cooked, reduce heat to medium-low.
Add cream and Worcestershire sauce to the onions and stir together. Bring to a simmer and let the sauce thicken up a bit, about 2-3 minutes. Make sure to stir regularly so the sauce doesn't burn. Remove from heat once thicken.
Finish off the sauce with blue cheese crumbles, Stir until the crumbles have completely melted. Give the sauce a taste and add salt & pepper, as needed. Slice the sirloin and serve with the sauce over the top.