In skillet, heat 3 tbsp. oil over high. Season steak; cook, 3 minutes per side for medium-rare. In medium bowl, toss radicchio, oranges, and remaining 1 tbsp. oil; season salad. In small bowl, mash cheese with mayonnaise; spread on 4 slices of toast. Slice steak against grain. Build sandwiches with toast, steak, and salad.