In a side of each filet mignon make a slit 1" long. Stick a paring knife through the slit and cut out a pocket inside the filet. Stuff the filets with alternating layers of the cheese and the mushroms. End the top layer with the mushrooms. Press the slit together so that it closes. In a large skillet place the butter and heat it on medium high until it is hot. Add the stuffed filet mignons and saute them for 4 to 6 minutes on each side, or until the desired doneness is achieved. Pour the Red Wine Sauce over the top of the filets. RED WINE SAUCE: In a small saucepan place the red wine and the shallots. Cook them on medium high for 4 to 6 minutes, or until the liquid is reduced to 3 tablespoons. Add the veal stock and cook the sauce for 15 minutes, or until it is reduced by 1/4. While whisking constantly, add the pieces of butter one at a time. Add the salt and stir it in.