In a small bowl stir together steak sauce, thyme, green peppercorns, black pepper, and cayenne pepper. Trim fat from steaks. Spread half of the pepper mixture on one side of the steaks.
For a charcoal grill, place steaks, pepper sides down, on the rack of an uncovered grill directly over medium coals. Spread the remaining pepper mixture on tops of steaks. Grill for 7 to 10 minutes for medium-rare (145 degrees F) or 10 to 13 minutes for medium (160 degrees F), turning once halfway through grilling. (For a gas grill, preheat grill. Reduce heat to medium. Place steaks on grill rack over heat. Cover and grill as directed.)