Pre-heat the grill to high heat.Oil the grill rack and place each steak to ensure an even heat.Place a small knob of Anchovy Butter (divide a quarter of the mixture in four) on each steak. Grill for 4 minutes.
Turn the steaks with a fish slice and place another quarter of the butter among the steaks.Grill on the second side 4 minutes. Reduce the heat and allow to cook for a further 3 minutes, less if the steaks are thin.
Serve with a neatly arranged pat of anchovy butter on top of each steak. Garnish with parsley sprigs and lemon wedges.
Anchovy Butter: Soak all the anchovy fillets in milk. Mash in a bowl with a wooden spoon until creamy. Cream all ingredients together and chill.