This is a very simple blue cheese sauce recipe that you can whip up as you are grilling steaks.
Here in France, there is quite a grand selection of blue veined cheese with which to make this recipe. I use Roquefort cheese, because it is readily available and has a very pronoucned taste, which we like.
You may wish to substitute another blue cheese. Be sure to pick one that is crumbly, soft,and dissolves easily in your mouth for good results with this recipe. Gorganzola, an Italian cheese, would work just fine. Or have a good look at the gourmet cheese section of your grocery store (if you have access to such a thing!) and you may find other sorts of French blue cheese.
Since I like to skip meat, I make baked potatoes to go with the steaks I usually serve with this sauce. A baked potato with blue cheese sauce makes a very satisfying meal for vegetarians.