Pre heat the oven to 200°C. Line an oven proof tray with baking paper, arrange the lemon slices on top and lightly drizzle with olive oil. Roast till lightly caramelized and charred at the edges (roughly 10-12 minutes, but depends on the size and thickness of the slices so keep a close eye).
Once the roasted lemon slices have cooled, place it in a clean jar along with the feta, bay leaves and chillies. Season with black pepper and pour enough olive oil to cover the feta.
Marinate overnight for best results.