In a bowl, combine olive oil, lemon juice, dried thyme, salt, and pepper.
Add halloumi cubes, bell peppers, and onion wedges to the bowl, tossing to coat evenly.
Let marinate for 15-30 minutes.
If using wooden skewers, soak them in water for 30 minutes to prevent burning.
Preheat the grill to medium-high heat.
Thread the marinated halloumi and vegetables onto the skewers, alternating between cheese and veggies.
Place the skewers on the grill and cook for about 3-4 minutes on each side, or until the halloumi is golden brown and the vegetables are tender.
Remove from the grill and let cool for a minute before serving.