1. Remove the anchovy fillets from the oil, reserving the oil. Cut fillets into small pieces. Set aside. In a small bowl, combine the oil with the garlic cloves. Using the back of a fork or a mortar and pestle, mash garlic and oil to make a paste.
2. If necessary, roll thawed pastry sheet into a 10- by 12-inch rectangle. With a pastry brush, spread pastry sheet with the oil-and-garlic paste. Then cut pastry into 120 pieces, each 1 inch square. Top each square with a piece or two of anchovy and a pinch of thyme. Place pastry squares on an ungreased baking sheet.
3. Bake in a 325° oven until the pastry is golden brown and has risen almost an inch, about 25 minutes. Serve hot or at room temperature.