Combine beets, thyme, extra virgin olive oil, a good pinch of salt and pepper in a high-walled baking dish. Squeeze orange halves over the mix and toss to combine.
Cover baking dish and roast until the beets are tender and easily pierced with a paring knife, about 35 minutes. Once tender, remove dish from oven and leave covered for 15 minutes to let beets cool slightly and steam a bit.
Using a dish towel (or two, they will be hot!) peel the skins off the beets. Once beets are free of skin, cut into ¼ inch cubes and place into a bowl.
Cover with pickling solution and let sit in refrigerator at least overnight. Beets will keep covered in pickling solution in a refrigerator for 2 weeks.