In a large mixing bowl, combine the mushrooms with the olive oil, and shallots, then season with salt and black pepper.
Arrange the mushrooms evenly in one layer in a heavy roasting pan and roast for 15 minutes or until tender. Remove the mushrooms from the roasting pan and place into a large cazuela or baking dish. Drizzle with 1/2 cup of chile oil and top with the slices of cheese. Bake until hot, 5 to 8 minutes. Remove from the oven, garnish with thyme, and drizzle with the remaining chile oil. Serve with lots of crusty French bread.
Place all ingredients in a blender and puree. Strain mixture through a fine strainer. Reserve. This may be done up to one day in advance.