I've made this twice now -- once with a whole tenderloin and this week with individual filets. Personally, I prefer the individual filets, particularly when it's just two of us (makes for more manageable sizes of leftovers). When doing the whole tenderloin, make sure you have a meat thermometer handy -- the baking times listed will get you to a rather red rare tenderloin, which may not be what you'd prefer. I'd also recommend placing the wellington on a rack for baking, to keep the pastry out of the juices. To do individual filets, I skipped the initial browning step, chopped the mushrooms rather than slicing them, skipped the pate (didn't have any on hand), and wrapped each filet separately. We baked it at 400 degrees F for 30-35 minutes, which got the pastry just barely golden and the meat medium rare. But again -- a thermometer is definitely helpful in this recipe!
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I've made this twice now -- once with a whole tenderloin and this week with individual filets....