I hesitated on answering because I never have used phyllo on a Wellington. I do cook with phyllo a lot however and my "gut" tells me that it would get browned way to fast and would end up very brittle, making slicing a problem.

It may work better with individual filet mignons that have been precooked a few minutes......done to just short of your liking.

Chase, I didn't think about that, but it would be an issue. Any thoughts on how to do the individual mignons? Sounds like an interesting idea!