Cut the ends off the squash. Then, using a fillet knife clean out the insides of the squash, remove the stringy parts and the seeds. Then cut them into 1/2" pieces. Try to be consistent. The rings will cook much better if they are the same size.
If all the insides don't come out when you're using the knife you can clean the rest out once they are cut in rings.
Put the rings in a large bowl and pour a good portion of olive oil on them, toss to coat. Add the salt, pepper, shallot and thyme and toss again.
Get yourself a large oven tray with sides and oil it using one of the squash rings, this works really good. Use the oil from the bowl, then put the rings on on the tray in one layer.
Put in the preheated oven and bake for 20-25 minutes. If you want, flip the rings over 1/2 way through the cooking process to ensure even browing.
Serve along with rice or meat.