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Heat oven to 200C/fan 180C/gas 6. Arrange the mushrooms on a baking tray. Scatter over the cheese, walnuts, thyme sprigs and butter. You can do up to this stage a day in advance.
Pop in the oven and cook for 10 mins until the cheese is melted and the mushrooms are softened. Arrange some rocket leaves on plates and place the mushrooms on top.