Cut each lobster tail in half. Pull meat out of the shells, cut into small cubes, set in a bowl and refrigerate until needed. Cut or break the empty shells into smaller pieces. Heat the oil in a pot set over medium heat. Add shells and onion and cook 3 to 4 minutes, until shells are red in colour. Mix in the flour and garlic and cook 1 minute more. Slowly, while stirring, mix in the stock. Add the brandy or wine, tarragon and paprika, bring to a simmer, and simmer 10 minutes. Strain the sauce into another pot, mix in the cream, and set aside.
Preheat your indoor or outdoor grill to medium-high. Season the steaks with salt and pepper. Grill the steaks, lightly oiling the surface if not non-stick, 2 to 3 minutes per side for rare, 3 to 4 for medium rare, and 4 minutes for medium.
While the steaks cook, return sauce to a simmer. Add the reserved lobster meat and simmer 2 to 3 minutes, or until just cooked through. Season the lobster sauce with salt and pepper.
When cooked, plate the steaks, topped with sauce and serve.