How to Make It
Preheat the oven to 400°. Using a sharp knife, peel the lemons, removing all of the bitter white pith. Cut each lemon crosswise in 4 slices.
Cut eight 12-inch squares of aluminum foil. Set a lemon slice in the center of each square of foil. Top the lemon with 2 fennel halves, overlapping them slightly. Season with salt and pepper. Scatter the thyme, garlic and olives over the fennel, drizzle with olive oil and fold each square into a neat package.
Spread the kosher salt on a large, rimmed baking sheet. Nestle the foil packets into the salt, seam side up. Bake the fennel for about 1 hour, or until very tender. Carefully open the packets over a bowl to catch the roasting juices. Transfer the fennel to a deep platter, pour the juices on top and serve.