Preheat oven to 400 degrees F (200 degrees C).
Place each chicken breast half between sheets of plastic wrap and pound with a meat mallet to about 1/8 inch thickness. Place a finger of cheese on each ham slice and sprinkle lightly with thyme and salt and pepper to taste. Roll up seasoned ham and cheese 'jellyroll-style', then roll each chicken breast with ham and cheese inside. Tuck in ends and fasten with toothpicks.
Place melted butter in a small bowl and place cereal crumbs in a shallow dish or bowl. Dip each chicken roll in butter or margarine, then roll in crumbs, turning to coat thoroughly. Place coated rolls in a lightly greased 9x13 inch baking dish.
Bake at 400 degrees F (200 degrees C) for about 40 minutes or until chicken is golden brown and juices run clear. Serve with cordon bleu sauce, if desired.
To Make Cordon Bleu Sauce- In a small saucepan mix together the soup, sour cream and lemon juice. Heat over low heat, stirring occasionally.