
Place piece of feta at end of phyllo strip. Sprinkle lightly with lemon zest and thyme. Roll phyllo around feta, folding in sides and brushing with olive oil as needed to seal. Repeat with remaining feta and phyllo.
Heat 2 tablespoons olive oil in large skillet over medium heat. Cook wrapped feta bites, turning gently, until golden and crispy on all sides, about 30 seconds per side. Transfer to prepared baking sheet.
In oven, bake 5-7 minutes, until feta is warmed through and slightly softened.