Scatter half of the chopped onion in a large, shallow bowl, cover with plenty of olive oil. Season the mascarpone with salt, pepper and thyme. Place a teaspoon of the mascarpone mixture in the middle of each sheet of bacon. Shape the bacon into a bag and pin it together with a toothpick.
You can also form rolls, go faster and look nice too. Place these bags in the bowl with the onion and olive oil mixture and sprinkle with the remaining onion. Drizzle again with plenty of olive oil.
The mascarpone pouches should sit in the refrigerator for a few hours.