Clean and wash the aubergine and cut it into 12 3-4 mm thin slices at an angle. Sprinkle with a little salt and let it stand for about 15 minutes. Wash the thyme, cut the stems in half. Cut feta into 12 slices.
Dab aubergine with kitchen paper and season with pepper. Cover each slice with feta and thyme, fold over and pin.
Brush the skewers with oil and place them in a grill tray or on aluminium foil. Grill on the hot grill for about 5 minutes on each side.