Sear the steaks on both sides in a hot frypan and place on a plate.
In the same frypan over medium heat, combine the mushrooms, onion, sherry, butter and parsley and saute until all the liquid is absorbed and the mixture resembles a paste. Cover the top of each steak with the mixture.
Roll out the sheets thin enough to cover the top, sides and bottom of each steak. Place the pastry-wrapped steaks on a baking sheet, cover with plastic wrap and store in the refrigerator until serving time.
Preheat oven to 220 degrees C. Bake steaks uncovered in the preheated oven for 25 minutes. (Note: They will be rare but will continue cooking while dish is sitting.)