Trim and finely slice the fennel. Layer 3 sheets of tin foil on a work surface and place the fennel in the centre. Squeeze over the lemon juice (keeping the skin halves to use for zest later), season and add a little oil.
Crush 2 of the garlic cloves and add to the fennel with half of the thyme leaves.
Scrunch together the edges of the foil to make a sealed bag and bake in the oven for 1 hour, or until the fennel is soft and juicy.
Add a drizzle of oil to a large pan and place over a medium heat. Peel and finely chop the onion and the rest of the garlic, then add to the pan with the anchovies and rosemary. Cook for 10 minutes, or until the onion is soft.
Add the tinned tomatoes to the pan and use a wooden spoon to break them up a bit. Put the lid on the pan and simmer slowly for 15 minutes.
Remove the fennel from the oven and turn the temperature up to 190ºC/375ºF/gas 5.
Spoon a thin layer of tomato sauce into a 24cm x 32cm ovenproof baking dish. Add a good grating of Lincolnshire Poacher cheese, followed by a single layer of roasted fennel. Repeat these layers until all the ingredients are used up, finishing with a little sauce and a grating of cheese.
Toss the breadcrumbs in a little oil, the lemon zest and remaining thyme leaves. Sprinkle the crumbs over the fennel dish, then grate over some red Leicester. Bake in the oven for 30 minutes, or until golden, crisp and bubbling.