Pour half the oil into a large, heavy-based frying pan and stir in the fennel and onion. Add the citrus rind, dill, fennel seeds and crushed chillies and place the pan over a very low heat. Cook, stirring frequently, for 12–15 minutes until the fennel and onion are golden and caramelized, being careful not to burn. Add the garlic and cook, stirring, for 2 minutes. Remove from the heat and stir in half the breadcrumbs and parsley. Season with salt and leave to cool.
Drizzle 1 tablespoon of the remaining oil over a large baking sheet. Add half the sardine fillets, skin-side down. Season lightly with salt, then spread the fennel mixture over each fillet. Press a second fillet on top, skin-side up, and scatter with the remaining breadcrumbs and parsley. Drizzle with the remaining oil and squeeze the lemon juice over the fish. Season again with salt.
Cook under a preheated high grill for 6–8 minutes until the fish is opaque all the way through. Serve with lemon wedges, accompanied by a tomato and lettuce salad.