Rub each steak with garlic and olive oil. Season with salt and pepper. Combine the egg yolks, cream, Cognac, water, and sugar in the top of a double boiler set over simmering water. Stirring constantly, heat the mixture for about 9 minutes or until sauce thickens slightly. Do not boil.
Grill the steaks over a medium hot fire. Drizzle the steaks with Cognac Cream Sauce before serving.