I've done this a number of times. The problem is the size and storage. What are you going to do with all that meat? However,I like the whole piece. I trim all the connective tissue and all the fat from the side surfaces. This leaves a much cleaner tenderloin steak sized exactly as you want than buying them individually at a very high price. I cut them into steaks with the exact thickeness and size that we want. The small short end on the one side of the chateaubriand is not a waste. you can grill it in one piece on its side and cut following. Small pieces from that also make a great Bouef Stroganoff, which should always be done with filet. It'easy to make, with Pepperidge Farm Puff Pastry from the supermarket.
I think it's a waste to buy prime filet. Costco has it from time to time. Buying USDA select rather than choice is OK when the price is right. Filet doesn't have fat. Yes, the higher grades have a bit of better taste, but the low grades are just fine. I don't think you gain as much from select to prime that you do with strip steaks.
At Costco they have whole tenderloin at decent prices. Rarely they have half tenderloins, a bit easier to deal with, especially if you can get the thick end.
Look also at a local restaurant supply house. They sell them routinely. They're cryovac'd and have a date. Since they sell to restaurants, the price and freshness is right.
You're motivating me to head there tomorrow. It's getting just about warm enough to comfortably grill here and the rain has stopped.
