Slice bread and soak in enough milk to moisten thoroughly.
Sweat onions and garlic in a pan in olive oil with the sprigs of thyme and season with salt and pepper. Once soft, transfer to a tray and cool.
Gently squeeze bread to remove excess milk. Mix bread, onion mixture, egg, and salt and pepper (to taste) into the lamb by hand.
Test a small batch on the grill or in a pan to check seasoning.
Shape balls into ovals using a spoon for uniform size, then roll by hand. This mixture should make approximately 30–40 meatballs weighing between 50–60 grams each.
Cook on the grill or in a pan until golden on the outside and slightly pink in the centre.
Just before serving, make a salsa by mixing capers, anchovy fillets, parsley, olive oil and red wine vinegar into a bowl.
To serve, place the meatballs on a plate. Spoon over the salsa and shave pecorino over the top.
