Preheat the oven to 375°. In a large pot of boiling salted water, cook the orzo until al dente. Drain.
Meanwhile, in a large skillet, heat the olive oil. Add the onion and cook over moderately high heat until softened, about 5 minutes. Add the thyme and cook until fragrant, about 1 minute. Add the goat cheese, cream cheese and milk and cook over moderately low heat, stirring, until the cheeses are melted, about 2 minutes. Remove from the heat.
Add the cooked orzo and the parsley to the skillet and season with salt and pepper. Scrape the pasta into an 8-inch baking dish and sprinkle the pecorino on top. Bake for about 25 minutes, until lightly browned.