3. Spread out some plastic wrap and place a few slices of proscuitto on it, overlapping slightly. Spread the mushrooms on the proscuitto and place one of the filets on the mushrooms. Using the plastic wrap, roll the mushrooms and proscuitto around the filet, getting it as tight as you can. Twist the ends to seal. Place the rolls in the fridge for 20 minutes.
4. Heat the oven to 400 degrees.
5. Roll out the pastry dough or pie dough so it's big enough to wrap around the filets. (If you're making one big Wellington to slice, use the whole crust. If you're making individual Wellies like I am, cut the crust into two pieces.) Place the unwrapped filet roll on the crust. Brush some egg wash (beat an egg with a little bit of water) around the edges, and wrap the dough around the filet roll, sealing the edges. Put the wrapped filets in the fridge, seam side down, for about 10 minutes.
7. Plate and enjoy!