In a large, shallow ceramic or glass baking dish, combine the olive oil, lemon juice, chopped fennel leaves, salt, and pepper. Pat the fish dry with paper towels and add to the marinade, turning to coat evenly. Cover with plastic wrap and marinate in the refrigerator 15 minutes.
Preheat the oven to 400 degrees.
Spread 3 or 4 vine leaves on a work surface, overlapping them to form a large, sturdy wrapper. Place a few slices of fennel in the center. Cover with a fish fillet and scatter a few more slices of fennel on top. Top with a half lemon slice and drizzle with olive oil. Wrap the fish in the vine leaves and lay it, seamside down, in a large baking dish. Repeat with the remaining fillets, placing them in a single layer in the dish.
Bake 20 to 30 minutes, until the fish is opaque throughout; open one package to check for doneness. Immediately transfer to serving plates and have guests unwrap the fish at the table.
c.1997, M.S. Milliken & S. Feniger, all rights reserved
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