Soak wood planks in tepid water for at least 30 minutes before using.
Preheat grill for medium high heat.
Toast walnuts in a skillet for 2-3 minutes. Make sure to move them around while in the pan, or else they run the risk of burning. Once they become fragrant, remove from heat and cool for 2-3 minutes. Chop into smaller pieces and set aside.
Peel and slice onions into 1/2" thick rounds. Remove planks from water and pat dry with paper towels. Brush planks with olive oil, and carefully place onion slices on top-- about 3 slices per plank. Brush the tops of onion with oil and season with a little salt and black pepper.
Combine blue cheese with chopped walnuts, fresh thyme leaves, and black pepper. Cover and place mixture into refrigerator.
Place planks with onion slices onto grill. Close lid and cook for 12-15 minutes. Reduce heat if needed. Onions should be almost tender and starting to brown around the edges.
Scoop about 1/4 cup of blue cheese filling onto each slice. I find it's easier to do this by hand, rather than using a spoon. Close lid to grill and continue cooking for 3 minutes, or until cheese just begins to melt. Remove from grill, slice into fourths, and serve.