In a bowl, crumble the feta cheese and add the fresh thyme and pepper. Mix well.
Cut strips of non-stick baking paper. These will help shape the caramels. Cut the phyllo pastry sheets into 4 squares each.
Take a square phyllo sheet, place it on your workstation, and brush it with a bit of melted butter.
Layer another phyllo square on top and brush it with butter as well. Place 2 tablespoons of the feta mixture in the centre and roll it up, sealing the filling tightly. Press the sides to form a caramel shape. Twist the ends and secure them with the strips of non-stick baking paper.
Place the 12 feta caramels on 2 pans lined with non-stick baking paper. Brush them with melted butter and sprinkle sesame seeds over them. Bake in a preheated oven at 180°C for 10-15 minutes or until golden brown.
Use scissors to cut the non-stick baking paper and remove it from the caramels. Place them on a plate, drizzle with honey, and serve.