Heat oil in large skillet on medium-high heat. Add onions; cook and stir 5 min. or until tender. Reduce heat to medium-low; cook 30 min. or until onions are golden brown, stirring occasionally and adding thyme for the last 5 min.
Stir in sherry; cook on medium-high heat 5 min. or until sherry is reduced by half. Add beef broth; bring just to boil. Cover; simmer on medium heat 20 min.
Heat broiler. Ladle soup into 6 ovenproof bowls; top with baguette slices and cheese. Broil 3 to 5 min. or until cheese is bubbly and golden brown.
For more flavour, add 1 bay leaf to cooked onions with the thyme. Discard bay leaf before ladling soup into bowls.