Lightly oil grill and preheat barbecue to medium-high.
Place thighs, smooth side down, on a cutting board. Divide cheese crumbles, sundried tomatoes and thyme onto thighs. Fold both ends of thighs into the centre then fold over again tightly and secure with toothpicks. Lightly brush with oil and place on grill. Close lid and cook until chicken is firm and cooked through, 20 to 25 min. or until chicken reaches an internal temperature of 170°F (77°C). Turn as needed to brown evenly on all sides. Season to taste with salt and pepper.