Heat gas or charcoal grill. In large bowl, mix beef, steak sauce, salt and pepper. Shape into 4 patties; set aside
In 8-inch skillet, cook bacon until browned. Add onion, brown sugar, salt and pepper; cook about 3 minutes or until onion is cooked. Stir in ketchup; cook 1 to 2 minutes. Remove from heat. Transfer sauce to bowl; cover and set aside.
Place patties on grill over medium heat. Cook about 5 minutes on each side or until meat thermometer inserted in center of patties reads 160°F. Top with cheese; cook 1 minute longer.
Place patties on bottom halves of buns. Top with warm bacon-onion BBQ sauce; cover with top halves of buns.