Heat oven to 400° F.
In a large bowl, combine the oil, sugar, nutmeg, 1 teaspoon salt, and 1/2 teaspoon pepper. Add the sweet potato wedges and toss to coat.
Transfer to a large rimmed baking sheet and arrange in a single layer. Scatter the thyme over the top and roast, turning once, until the edges are dark brown and the wedges are crisp, about 1 hour.
Make-Ahead Note: The sweet potatoes can be cut and seasoned up to 2 hours before cooking.