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Place the bacon strips on a rimmed baking sheet. Bake until bacon is about halfway cooked, about 5 to 10 minutes, making sure not to crisp the bacon. Remove the bacon from the oven, drain on paper towels and cool.
Place a piece of cheese on top of each steak and roll the steak up around the cheese. Wrap a piece of bacon around each steak, covering as much of the exposed steak as possible. Cut off any excess bacon and secure the rolls with a toothpick.