Wrapping the thyme in cheesecloth prevents the leaves from falling into the fruit compote; if you don't mind the extra herbal flavor, you can add the sprigs without wrapping them. More Cocktail Party Recipes
Using a small, sharp knife, peel the orange, removing all of the bitter white pith. Working over a small bowl, cut in between the membranes, releasing the sections into the bowl. Squeeze the juice from the membranes into the bowl and add the figs and sugar. Let stand for 10 minutes.
In a medium saucepan, combine the orange-fig mixture, the wine, thyme and water and bring to a boil over moderately high heat. Reduce the heat to moderately low and simmer, stirring occasionally, until most of the liquid has evaporated, about 15 minutes. Discard the thyme and let cool completely. Serve the fig-orange compote alongside the Gorgonzola.
The fig-orange compote can be refrigerated for up to 4 days.