Preheat the oven to 400°F.
In a small bowl, stir together the Gorgonzola and cream until it is lumpy yet spreadable. Add the lemon juice and zest, stir together well, and set aside.
Cut the stems from the figs and slice a deep cross into each fruit, vertically from the stem end, cutting about halfway down the fig. Press each fruit at its base so that it opens up like a flower.
Place the figs in a small baking dish or ovenproof skillet and sprinkle the marsala over them. Bake for about 20 minutes, until the fruit is meltingly tender and the edges have started to caramelize. Switch the oven to broil and bake for five minutes more, until caramelized.
Remove the figs from the oven and let them cool slightly. Place 3 figs on each serving plate. Add a dollop of Gorgonzola cream to the center of each fig. Garnish by sprinkling with some extra lemon zest and thyme over the top.