I only do New York strips and filet mignons.
I start with a very hot grill -- 550 degrees. I make two separate marinades: one consisting of the juice of fresh squeezed lemons and limes and one orange. The other is 3/4 sherry (not cooking sherry, but something decent and nutty) and 1/4 soy sauce, with a sprinkling of basil, rosemary and a couple of bay leaves.
I brush the steaks with each marinade and put them face down on the grill. Then I brush the backs and close the grill. After a few minutes, I do the first flip, again brushing the backs with the marinades before I flip them. I then brush the other side, making sure that each steak is well-soaked with marinade. I keep doing this process until the steaks are cooked (I'll confirm by cutting into one). My wife and I like them pink in the middle -- what we call, "true medium."
I love the result and Mrs. PTravel says they're better than anything she's had in a restaurant.