Trim excess fat from along the sides of the duck breasts. Using a sharp knife, score the skin in a crosshatch pattern. Season with salt and pepper and place skin-side down in a cast-iron skillet. Turn heat to low and cook until skin begins to crisp, about 10 to 12 minutes. Flip and transfer to the oven to continue to cook, about 10 minutes. Remove the duck breasts from the skillet and set aside to rest for 5 to 10 minutes.
For the sauce: Pour off some of the duck fat from the skillet and put the pan over a medium flame. Add the shallots, thyme sprigs, and marmalade. Cook until aromatic and slightly reduced, about 4 minutes. Discard sprigs.
For the baguette: Brush baguette slices with oil and bake until light brown, 4 to 5 minutes.
To assemble, slice duck breast on the bias into 1/4-inch-thick slices. Place a duck slice on a toasted baguette. Drizzle a spoonful of sauce on top. Garnish with a few thyme leaves and serve.