Preheat your grill to medium-high.
Set an oven rack 6” beneath the broiler. Preheat the broiler to high heat.
Cut each lobster tail in half lengthwise. Place the half lobster tails, flesh side up, in a single layer in a small, shallow baking dish.
Combine the butter, lemon juice and cayenne in a small bowl. Brush this mixture on the flesh of each half lobster tail.
Brush the steaks lightly with the olive oil;
season with salt and pepper. Grill the steaks to the desired doneness, allowing, approximately 2 to 3 minute per side for rare, and 3 to 4 per side for medium rare to medium.
Set the steaks on a plate, tent with foil and set on the stovetop until the lobster tails are ready. Broil the lobster tails for 4 minutes, or until just cooked through. To serve, place one steak and two half lobster tails on each of 2 plates.
Recipe Options: Instead of top sirloin or tenderloin, try another tender steak in this recipe, such as rib eye. If you love lobster, double the recipe and serve two tails person. To make this dish even more decadent, serve the lobster with melted butter for dipping.