In a large skillet melt 3 tablespoons butter with 1 tablespoon oil.
Add in the sliced fresh mushrooms and saute until they release their liquid and are tender (about 10-12 minutes).
Add in 1/4 cup shallots and garlic; saute for about 3 minutes.
Stir in fresh thyme and season with salt and pepper; transfer to a bowl.
Add in another 2 tablespoons butter with 1 tablespoon oil to the same skillet over medium-high heat.
Season the steaks with salt and pepper, then add to skillet and cook until desired doneness (about 3 minutes per side for medium-rare).
Add in the remaining 1/4 cup shallots to the skillet; saute for 2 minutes, then add in Maderia and beef broth, then bring to a boil, simmer uncovered until REDUCED to about 2/3 cup (this should take about 7 minutes).
Add in the whipping cream and cayenne (if using) boil until the sauce thickens slightly (about 2 minutes).
Add/stir in the mushroom mixture.
Season with salt and pepper.
Return the steaks to the skillet and cook until heated through (about 1 minute).