Place steaks in a large baking dish or zipper plastic bag. Pour Stubb's Sweet Black Pepper Anytime Sauce over steaks. Allow steaks to marinate in sauce for 30 minutes at room temperature, or up to one hour in the refrigerator.
After marinating, preheat an outdoor grill or indoor grill pan to medium-high heat. Oil the grill grates to prevent the meat from sticking. Remove steak from marinade and discard leftover marinade. Season steaks with salt and black pepper. Grill steaks for 3-4 minutes per side, cooking until a thermometer registers 140°F for medium rare.
Meanwhile, in a small sauce pan, stir together half and half, sour cream, blue cheese crumbles, garlic and Worcestershire sauce. Heat sauce to a simmer over low heat. Season blue cheese sauce, as needed, with salt and black pepper.
Serve grilled steaks topped with warm blue cheese sauce.