In a small bowl, place water and stir in gelatin, then set aside for 15 minutes until the gelatin softens.
Whisk yoghurt, vanilla extract and 1 cup of milk in a large bowl.
Simmer the remaining milk and sugar in a small saucepan.
Stir in water-gelatin mixture and remove from heat.
Add to yoghurt mixture and whisk together, add lemon juice and stir.
Pour the mixture into small cups and chill in fridge for 2 hrs.
For the topping, cut the peaches into halves then place them on a baking dish.
Prepare a mixture of balsamic vinegar with honey.
Drizzle the mixture on top of the peaches and season with salt and pepper and thyme.
Place the peaches in the pre-heated oven for 30 minutes until caramelised and tender.
Allow peaches to cool, and serve on top of set Panna Cotta.