Place the sirloin cap (picanha) steak with the fat side down on a cutting board. Using a very sharp knife, cut the steak going with the grain into 1-inch thick slices. Each slice will have a layer of fat along the bottom.
If you want to skewer the picanha for the classic Churrascaria preparation, you will start to skewer through the fat side, fold over the steak and skewer back through the other fat side.
Preheat the grill on high heat (400 F degrees). Place the skewers or steaks on a diagonal along the grill. Cook for 5 minutes, flip and cook for another 5 minutes for medium rare. Medium rare = 10 minutes, Medium = 15 minutes, Well = 20 minutes.