Combine all marinade ingredients. Whisk well to mix. Place steaks in heavy resealable plastic bag. Pour marinade over. Seal and refrigerate overnight.
For sauce, sauté shallot and garlic in butter until limp. Add wine and let boil until wine almost totally evaporates. Add cream, cheese, thyme, salt and pepper. Turn heat to low and cook until mixture is reduced by half, about 10 minutes. Add vinegar to taste. Pour sauce into blender beaker and puree until mixture is smooth. Cool.
Remove steaks from marinade and wipe dry. Grill outdoors or on stovetop until cooked through.
To assemble sliders, cut steaks in half. Place each piece on bottom of bun and top with blue cheese sauce, arugula and bun tops.