Preheat the oven to 200°C/ 400°F/Gas mark 6.
Trim the stalks from the mushrooms. Put the mushrooms, rounded cap side down, in a medium roasting dish. Season with salt and pepper.
Pour the olive oil over the mushrooms. Place the cheese slices on top, and finally sprinkle with the lemon thyme. Bake in the oven for 20–25 minutes until the cheese has melted. Serve hot.