Preheat the oven to 425°. In a large pot of boiling, salted water, cook the cipollini until just tender, about 3 minutes. Drain and cool under cold running water. Trim and peel the onions and pat dry.
Transfer the onions to a large ovenproof skillet and stir in the olive oil, thyme leaves, sugar and 1/4 cup of the sherry vinegar. Bring to a simmer over moderate heat. Cover the skillet with foil and roast the onions in the upper third of the oven for about 20 minutes, until soft. Remove the foil and roast the onions for about 10 minutes, basting a few times with the juices, until lightly glazed.
Transfer the skillet to the stove. Add the remaining 2 tablespoons of sherry vinegar and stir over moderate heat until the onions are richly glazed, about 2 minutes. Season with salt and plenty of pepper and serve.