Fry bacon strips in the oil until they begin to crisp; add in sliced mushrooms; soften them in the pan with the bacon.
Combine flour and thyme in a plastic freezer bag; add chicken thighs; toss to coat.
Melt butter in the pan (with the bacon/mushrooms); add in chicken thighs and all the flour left in the bag; stir around with the bacon and mushrooms until chicken begins to color, about 25 minutes.
Pour in the hot stock and Marsala, stirring to form a sauce; let this bubble for about 5 minutes.
Take two 1 1/4 cup pie pots (if yours are deeper, don't worry, there will simply be more space between the contents and the puff pastry top) and make a pastry rim for each one; an approximate 1/2-inch strip curled around the top of each pot; dampen the edges with a little water to make the pastry stick.
Cut a circle bigger than the top of each pie-pot for the lid; divide the chicken filling between the two.
Dampen the edges again and then pop on the top of each pie, sealing the edges with your fingers or the underneath of the prongs of a fork.
Cook the pies for about 20 minutes, turning them around halfway through cooking; once cooked, they should puff up magnificently.