Preheat oven to 3750F and butter 2 large baking sheets. In a food processor, pulse oats until chopped fine. Add flour, salt, baking powder, and butter and pulse until mixture resembles coarse meal. Add milk and pulse until a dough just forms. On a lightly floured surface roll out dough 1/8 inch thick (about 13-inch round) and using a 1½ inch cutter, cut out about 60 oatcakes. Arrange oatcakes on baking sheets 1 inch apart and bake in middle of oven for 12 minutes (oatcakes will not change colour). Transfer to a rack and cool completely.
In a small saucepan, combine figs, wine, honey, and 1 tablespoon thyme sprigs and simmer, stirring occasionally until most liquid is evaporated. Transfer fig mixture to a small bowl and cool.
Top each oatcake with about ½ teaspoon goat cheese, a fig piece and a few thyme sprigs.