Cube the bread and place in a medium bowl. Add the milk. Soak the bread in the milk 10 minutes. Mash the bread with the back of spoon until fairly smooth. Add the beef, egg, onion, garlic, Worcestershire, thyme, salt and pepper to the bowl. Gently mix until just combined. Form the meat mixture into 4, 3/4-inch thick patties.
Preheat your barbecue to medium-high. Lightly oil the grill. Grill the burgers about 4 minutes per side, or until entirely cooked through. Sandwich the burgers in the buns, top as desired and serve.