Heat grill to medium-low. Place the Feta in the center of a large piece of heavy-duty foil. Top with the thyme, drizzle with the oil, and season with ¼ teaspoon pepper. Seal the foil to form a packet.
Grill the packet, covered, until the Feta is soft in the center when pressed, 15 to 17 minutes. Transfer the Feta, herbs, and oil to a shallow bowl and serve with the pita.