Toss together the chicken wings, paprika, oil and garlic cloves in a large bowl and season well. Tip into a shallow roasting tin and scatter with the thyme. Roast in a preheated oven, 200°C (400°F), Gas Mark 6, for 30 minutes.
Turn the wings over and pour in the sherry. Return to the oven and cook for a further 30 minutes or until the chicken is cooked through.
Transfer the chicken to a serving dish, squeeze the garlic from their skins, drizzle over the cooking juices and serve.