Mix together the thyme, garlic, salt and chillies and rub the mixture all over the fish steaks.
Place the fish in a single layer in a shallow, ovenproof dish into which the pieces of fish fit snugly. Pour over enough oil to just cover the fish. (If the dish is too large, line it with foil, arrange the fish and bring the foil up around the fish so that you don't use too much oil.) Cover and chill for up to 24 hours.
Bake in a preheated oven, 180°C (350°F), Gas Mark 4, for 30 minutes, or until the fish is cooked through.
Use a slotted spoon to drain the fish, and place on warm serving plates. Mix together the lemon juice, parsley, sugar and vodka with 4 tablespoons of the cooking juices in a small saucepan. Whisk well, reheating gently, and spoon over the fish to serve.