Pare one of the lemons thickly, and place the peel into the bottom of a greased baking dish.
Slice the other lemon into 8 slices, and place 2 slices, along with 2 thyme sprigs, under the skin of each chicken breast. Place the chicken breasts over the lemon peel, brush the fillets with the olive oil, and squeeze the pared lemon over the fillets. Season with salt and pepper.
Roast in the preheated oven until the skin is crispy and the juices no longer run pink, about 20 minutes. Garnish with a few thyme leaves.