Wash the anchovies and remove the spine to make two fillets without separating them. Lay them flat in a bowl.
Preheat the oven to 180°C (350°F), Gas Mark 6.
Prepare a marinade with all the ingredients except the olive oil and ground thyme. Dip each prepared anchovy on both sides first in the marinade, then in the olive oil. Close the two fillets together, and arrange them in a single layer in a roasting tin or tagine. Pour the remaining marinade over the anchovies and sprinkle with the thyme.
Transfer the tin to the oven for 10 minutes or place the tagine over a very low heat.