Combine the olive oil, Worcestershire sauce, soy sauce, garlic, onion, salt, pepper, rosemary, steak seasoning and steak sauce in a blender and blend until well blended. Using a fork, prick the flesh of the steaks on both sides.
Pour half of the steak sauce mixture in a shallow dish, lay the Delmonico steaks in the dish and pour the other half of the mixture on top. Cover and refrigerate at least 3 hours or overnight.
Preheat Kong to 400 degrees and put down your Grill Grates and get them very hot. If you do not have Grill Grates, then cook directly on the grates of your grill.
Remove the steaks from the marinade, lightly oil the grates and sear the steaks for 3 to 5 minutes.
Rotate the steak 90 degrees, sear for another 3 to 5 minutes. Once you have good grill marks, flip the steak over and repeat. Cooking 6 to 10 minutes per side should yield a solid medium-rare to medium on each steak.