Heat the oven to 375°F. Whisk together the soy sauce, oil, shallot, garlic, honey, and thyme in a medium bowl. Put the tempeh pieces in a 9-inch square pan in a single layer and pour the marinade over them. Bake for 30 minutes, then turn the tempeh pieces over. Continue to bake until the tempeh has absorbed all the marinade, 20 to 30 more minutes.
Top the tempeh pieces with the cheddar and continue to bake until the cheese melts, 2 to 3 minutes. Serve the tempeh burgers on the hamburger buns with as much or as little lettuce, tomato, pickles, mayonnaise, mustard and/or ketchup as you like.
