Preheat oven to 400 degrees F. In an 8x8 glass baking pan combine olive oil, lemon zest and thyme. Olive oil should coat the bottom of the pan. Season with salt and pepper. Bake in oven for 10-12 minutes, checking every few minutes, if it looks like it is getting too brown remove and proceed to next step.
Remove pan from oven, , add shrimp, garlic and the thin sliced lemons (don't squeeze them), toss to coat with oil mixture. Bake for 8-10 more minutes or until shrimp turn pink and just start to curl, check often.
Recipe typically calls for 1/4 cup of olive oil, but reduced to 1/8 to reduce 120 calories.