Heat up a medium frying pan with oil/butter and cook onion and celery until tender.
Combine the first 8 ingredients and 2 Tablespoons BBQ sauce. Form into 6 thick patties. Warp a bacon slice around the sides of each patty and secure with a toothpick. Bake on a rack at 350 degrees F for 20 minutes or until desired doneness (you will be cooking this for 50 minutes total).
With the remaining BBQ sauce, baste filets frequently during the remaining 30 minutes.
Note: I wrap the bacon around like you would a filet mignon but you can wrap the whole thing if you want. Also many people don't like blue cheese but you could top it with blue cheese for the ultimate knockoff.