In a small dry skillet, toast fennel and chili flakes over medium heat for about 1 minute or until fragrant. Let cool slightly, then grind using a spice or coffee grinder or alternatively, crush in a mortar and pestle.
Scrape into a large bowl and add lamb, parsley, cornmeal, thyme, salt and pepper. Using your hands, mix together until well combined.
Divide into 4 equal balls.
Tuck crumbled blue cheese into each lamb ball, then flatten and shape into a 1 inch (2.5 cm) thick patty. Place on parchment paper-lined baking sheet or platter.
Preheat grill to medium high heat. Place burgers on greased grill and grill for about 4 minutes per side or until no longer pink inside.
Tip: Make-ahead, wrap in plastic and refrigerate for up to 2 days.