Pre-heat the oven to 425°F; line a rimmed baking sheet with aluminum foil.
Place scallops in a baking dish and cover with whole milk; allow scallops to oak in the milk for at least an hour.
Pat scallops dry with paper towels; season with 1½ tsp. salt and ¼ tsp. pepper.
Cut bacon slices in half crosswise so you get 3-inch to 4-inch long strips.
Wrap bacon around scallops and secure with a toothpick.
Arrange scallops on the prepared baking sheet.
In a small skillet, over medium heat, melt butter.
Add garlic and thyme leaves; cook, stirring, until fragrant; about 1 minute.
Spoon butter and thyme over scallops, leaving garlic in pan.
Place in the pre-heated oven and roast scallops until bacon is crisp and scallops are cooked through; 15 to 20 minutes.
Remove from the oven; remove the toothpicks.
Transfer scallops to a serving dish and serve warm with lemon wedges alongside.
