Whole Filet - Cook whole or cut?

Here is a old standard that comes out well.

Drunk and Dirty Tenderloin
From Smoke and Spice

1 cup Soy Sauce
.5 cup Bourbon
.25 cup Worcestershire Sauce
2 Tbls Brown Sugar
.5 tsp ground ginger
4 cloves garlic, minced

2-pound beef tenderloin
2 Tbls coarse-ground Black Pepper
1 tsp White Pepper
.25 cup oil, preferably canola or corn
.25 cup water

At least 4 hours, and up to 12 hours, before you plan to barbecue, combine the marinade ingredients in a lidded jar. Place the tenderloin in a Plastic bag or shallow dish and pour the marinade over the meat. Turn the meat occasionally if needed to saturate the surface with marinade.
Prepare the smoker for Barbecuing, bringing the temperature to 200 to 220.

Remove the tenderloin from the refrigerator and drain the marinade, reserving it. Cover the Tenderloin thoroughly with the Black Pepper first, then the white pepper. Let the tenderloin sit for 30 minutes

Pour half the marinade into a saucepan and refrigerate it until the tenderloin is cooked. If you plan to baste the meat, pour the other half of the marinade into another saucepan and stir in the oil and water. Bring the mop mixture to a boil over high heat and boil for several minutes. Keep the mop warm over low heat.

In a heavy skillet, sear the meat quickly on all sides over high heat. Transfer the tenderloin to the smoker and cook for 1.5 to 2 hours, mopping every 20 minutes in a wood burning pit, or as appropriate for your style of smoker. The meat is ready when the internal temperature reaches 140 to 145. Be careful not to overcook since tenderloin is best rare to medium-rare.

Bring the reserved portion of marinade to a boil, and boil for several minutes, until marinade is reduced by one-fourth. Slice the tenderloin and serve topped by spoonfuls of sauce.

Last time I gave each person their own filet, also wrapped in bacon, then I threw on some jumbo shrimp done with the Spicy Grilled Shrimp recipe, and leaned 3 of them together on top of each filet, and they were very well received (and eaten too quick to get pics). That said, RhumAndJerk's way sounds great, and I'm trying it next time I need a special meal.