Fold 4 (9 by 13-inch) pieces of parchment paper in half and starting at the top of the fold, cut a large half circle from the paper. When the fold is opened it should be a full circle. It is okay if it is not a perfect circle-a heart shape is even better. Reserve.
In a bowl combine the zucchini, butternut squash, Brussels sprouts and leeks. Toss generously with olive oil and season with the thyme leaves and salt. Oil and salt the halibut as well.
Preheat the oven to 500 degrees F.
Open the parchment paper circles (or hearts) and brush the paper with olive oil leaving a 1-inch border around the edge.
Divide the seasoned vegetables between the 4 papers, placing them in the center just above the crease. Lay the fish fillets on top of the vegetables and place a lemon slice on top of each fish fillet. Fold the paper over the fish. Working from 1 end of the parchment to the other fold the bottom of the paper over the top to crease and seal the packets. The closure needs to be very secure so the steam will not escape during the cooking process. Before the package is completely sealed, carefully add 1/2 cup wine in each then seal. Bake in the preheated oven for 8 to 9 minutes.
Remove the fish from the oven, place on serving dishes and serve immediately. Have each diner slice open their own parchment package so they can get the full effect of the burst of aromatic steam that will be released from the package.