Toss together the oil, chiles, thyme, garlic and some salt and pepper on a baking sheet. Roast until the oil is fragrant, about 10 minutes.
Remove the baking sheet from the oven and add the shrimp, tossing with tongs to coat in the mixture. Roast until the shrimp are pink and just cooked through, about 8 minutes. Remove and drizzle with a splash of sherry vinegar and garnish with parsley. Serve with baguette slices.