Make the sauce: In a medium bowl, whisk together the sour cream, horseradish, mayonnaise, Worcestershire sauce, ¼ teaspoon salt and ⅛ teaspoon pepper. Cover and refrigerate for at least 4 hours or overnight. (Yield: ⅔ cup)
Make the steak: Remove the steaks from the fridge and let them stand on the counter until they reach room temperature, about 30 minutes. Preheat the oven to 250ºF. Place a wire cooling rack over a baking sheet. Mist the rack with cooking spray.
Pat the steaks dry thoroughly with paper towels. Season generously all over with salt; sprinkle lightly with pepper. Place on the rack and bake until an instant-read thermometer stuck into the thickest part reads 120ºF (for medium rare), 15 to 20 minutes. Remove from the oven.
Place a cast iron or other heavy bottomed skillet over medium heat until very hot, 3 to 4 minutes. Swirl the cooking fat over the bottom of the skillet and add the steaks immediately. Cook, flipping with tongs once or twice, until well seared on both sides, 2 to 3 minutes. Transfer the steak to a cutting board and let cool completely. Wrap and refrigerate until cold, at least 1 hour. (You can cook the steaks up to 1 day ahead; keep covered and refrigerated.)
Make the crostini: Preheat the oven to 350ºF. Place the baguette slices in a single layer on a baking sheet. Brush with the olive oil; sprinkle with salt and pepper. Bake until the toasts are golden and crisp, 15 to 17 minutes, turning over halfway through. Transfer to a wire rack and let cool. (You can make the crostini up to 2 days ahead; keep in a ziplock bag at room temperature.)
Assemble the crostini: Thinly slice the filet against the grain (you should get 12 to 14 slices from each). Place the toasts on a serving platter. Top each with 1 or 2 arugula leaves, a slice of steak, ¼ to ½ teaspoon sauce and a few capers. Serve right away.