I’ve being following this recipe http://www.cookingsessions.com/Filet_Mignon.shtml with a few modifications:
I substitute Soy Sauce for the Worcestershire sauce. Initially I didn’t have Worcestershire sauce so tried the Soy Sauce. The resulting sauce was great. Eventually I bought Worcestershire sauce and tried the original recipe; that was a disappointment.
I added minced garlic to the ingredients to finish. I put the garlic with the shallot in the skillet before adding the sauce mix.
I often use onion in place of shallot just because I often don’t have shallot.
I added some mushrooms to the finish ingredients, then added before the garlic and shallots, for they need a little longer to cook.
I don’t find you need specifically Marsala wine. Various red or white wines will work, preferably dry white wine if white.