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Heat the oil in a frying pan. Add the shallots and garlic, and gently sauté for a couple of mins. Remove the porcini mushrooms from the soaking liquid and squeeze out any excess. Roughly chop and add to the pan along with the chestnut mushrooms and thyme. Cook for about 5 mins. If the mixture seems dry, add a little mushroom soaking liquid.
Remove from the heat and stir in the mascarpone and Parmesan. Season and leave to cool. Chill until ready to use.
Divide between 10 vol-au-vent cases and serve scattered with Parmesan shavings and a few thyme leaves.