Preheat oven to 400ºF.
Rub potatoes with a little oil and season skins with salt and pepper. Roast about 40 minutes until just tender when poked with tines of a fork. Remove and cool.
While potatoes are roasting, heat 2 tablespoons butter in a skillet over medium-low to medium heat and let melt. Add onions, garlic, thyme and bay and caramelize, stirring frequently, 25-30 minutes.
Halve potatoes lengthwise. Scoop out the flesh, season with salt and pepper, and mash with sour cream, remaining butter, cheese and caramelized onions. Fill potato skins with mashed potatoes and wrap each potato entirely in bacon, overlapping slices a little as you wrap them. Arrange on baking rack set over a baking sheet and roast until bacon is crispy, 15-20 minutes.