salting things draws out moisture. but in this case it is good.
the filet won't be sitting in enough salt long enough to do any harm, and the juices and water soluble proteins the salt will draw to the surface will be seared onto the outside of the steak, creating a very nice flavorful crust.
as for my filet mignon, i have a couple favored cooking techniques.
the simplest is to get a little extra virgin olive oil, cracked black pepper, kosher salt, and a clove or two of garlic (smashed), and place them in a ziptop bag with the steak for about 10 - 15 mins while you are preparing your grill and other items. then grill to medium rare.
my favorite by far, is much more complex, but well worth. it requires you to buy a PISMO (Packaged Individually Side Meat On.
http://www.athomasmeats.com/product_...=81&language=1) and trim it down yourself. you want to split the top roast and the chain meat from the main body of the tenderloin, then trim that piece down so it is an even width all the way down. then make one cut down the center with the grain pattern. open it up, and make two more cuts inside your first cut to create a pocket. stuff said pocket with blue cheese, garlic, basil, and a little bit of olive oil and salt. now, take about 4 tablespoons of whole black peppercorns, and crush roughly with a mallet. roll the outside of stuffed steak in them, then seal up the pocket with butchers twine, or skewers.
grill for several minutes until you have some nice char marks, then drop the heat of your grill down and move your "roast" to the top rack to slowly bake to 135 degrees. wrap in foil andrest for 20 mins while carry over cooking does it's job, and enjoy.
it's ALOT harder to do the second one, and not something i would reccomend for a novice tenderloin afficianado, but it is simply amazing taste wise.