For the dipping sauce: Combine the yogurt, lime juice, avocado, jalapeno, 3/4 teaspoon salt and 2 tablespoons water in a blender and puree until smooth. Cover and refrigerate until ready to serve.
For the wings: Preheat the oven to 425 degrees F. Drizzle the garlic heads with 1 tablespoon of the oil and wrap in foil. Bake until golden and soft, about 1 1/2 hours.
After about a 30 minutes, generously oil 2 rimmed baking sheets. Toss the wings with 2 teaspoons salt and a few grinds of pepper and divide them between the two baking sheets, spreading them in a single layer. Bake until very crispy, about 55 minutes.
Squeeze the baked garlic from the heads into a large bowl. Combine the balsamic vinegar, honey, thyme, red pepper flakes, 1/3 cup water and 1 teaspoon salt in a small saucepan and bring to a boil over medium-high heat. Reduce the heat slightly and simmer briskly until the liquid becomes syrupy and is thick enough to coat the back of a spoon, about 5 minutes. Remove from the heat and whisk in the remaining 3 tablespoons oil. Whisk into the bowl with the garlic.
Transfer the baked wings to the bowl with the glaze and toss to combine. Serve with the dipping sauce and lime wedges.
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