On a cutting board, hold the fish by the tail and scrape off the scales (there will not be many) with a knife. Wash the fish with cold water. If you like, cut off the heads, but you may leave them on.
Juice half of one of the lemons. Cut the remaining lemons in slices about a quarter-inch thick.
Cover the bottom of a glass baking dish (about 8 by 12 inches) with olive oil. Lay down the lemon slices on the bottom, then the thyme sprigs. Place the sardines in one layer on top of the lemons. Drizzle the sardines with the lemon juice. Salt and pepper (go heavy on the black pepper). Sprinkle on the wine and the rest of the olive oil.
Chop the oregano and parsley, and mix with the bread crumbs. Sprinkle the bread crumbs atop the sardines.
Cover the baking dish with aluminum foil and bake for about six minutes. Remove the foil and continue baking until the bread crumbs are toasted and the juices are bubbling. Serve immediately.