Soak 8 wooden skewers in water while you heat the grill to medium heat.
Cut each Halloumi into 4 pieces measuring approximately 1-inch-by-3-inches. Insert the soaked skewers into the pieces and put them onto a platter. Drizzle with olive oil and sprinkle with the paprika and thyme, turning them over to coat the cheese on all sides.
Grill the cheese about 2 to 3 minutes per side, until they have nice grill marks and are warmed through. Serve immediately.
Halloumi can also be prepared the same way, without the skewers, and cooked in a nonstick skillet over medium heat for 2 to 3 minutes per side.