In a casserole dish, whisk together Worcestershire sauce and olive oil. Place steaks into the dish and submerge. Let sit for 20 minutes up to 24 hours.
Just before grilling, remove steaks from marinade and place on a plate. Discard marinade.
Lightly season steaks on both sides with lemon pepper. In a large, cast-iron frying pan, heat a little olive oil. Cook both steaks until crusty on the bottom, about 5 minutes. Turn and cook for another 5 minutes for medium-rare. When cooked to your liking, transfer the steaks to a cutting board and rest for 10 minutes. Slice across the grain and serve.