Wrap each filet with a slice of bacon, securing with wooden picks.
Dice remaining bacon and cook in a hot skillet until crisp. Drain the fat. Add the diced mushrooms, parsley, onion and butter to the pan and brown lightly. Add salt and pepper. Keep the mixture warm while preparing the filets.
Cook the filets on the grill to your desired doneness. Place them on a large platter and top with the mushroom mixture. Place a mushroom cap, cup side up, on each filet. Fill each cap with warm brandy. Ignite the brandy and serve flaming.