Wash and halve the squash, leaving the skin on. Scoop out the seeds then cut into small cubes.
Put oil into a roasting pan and add squash. Strip two stalks of thyme of their leaves and sprinkle over the squash. Roast in the oven until tender, about 30-45 minutes.
Remove pan from the oven and transfer the squash to a serving dish. Scatter over with pecans and cheese, tossing together gently. Garnish with remaining stalks of thyme whole or torn into small sprigs.