Preheat the oven to 375 degrees F.
In a small baking dish arrange the sprigs of thyme along the bottom.
Wash the fillets and dry them with paper towels. Rub the fish with the extra-virgin olive oil and the lemon juice, and then season with black pepper, to taste.
Arrange the fillets in the baking dish on top of the thyme. Next, break up the feta and sprinkle on top of the salmon. Add the white wine to the dish and bake for 20 minutes. Remove the fish from the oven and serve.