1. Make marinade: Combine oil, garlic, thyme, lemon juice, 1/2 tsp. salt and 1/4 tsp. pepper in a large bowl. Add kielbasa, bell peppers and fennel and toss to coat.
2. Preheat gas grill on high heat for 10 to 15 minutes with lid closed. Make kebabs: Leaving some space between each item and alternating, thread kielbasa, bell peppers and fennel onto 8 long or 16 short metal skewers.
3. Oil grill. Place kebabs on grill, reduce heat to medium-high and close lid. Grill for 5 minutes, then turn kebabs, close lid again and grill until vegetables are slightly charred and softened, about 5 minutes longer. Transfer to a platter to serve.