Preheat oven to 375°F. Rub beets with olive oil. Place each oiled beet on a sheet of foil. Season with salt and pepper and add a sprig of thyme. Gather foil around each beet and crimp ends to seal tightly. Roast until completely soft, 45 minutes.
Spread walnuts in a single layer on a baking sheet. Bake, stirring often, until lightly browned, 7 minutes. Transfer to a bowl to cool. Chop walnuts.
Whisk salt, pepper, lemon juice and mustard. Gradually whisk in oil. Remove beets from foil and, working under cold running water, rub them to peel off skins. Cut each beet in half crosswise and thinly slice.
Tear lettuce into large pieces. Place in a large bowl; add beets and nuts. Toss with dressing, sprinkle with Gorgonzola and serve.