Place salmon fillets on heavy large baking sheet. Rub cognac over both sides of fish. Mix together all remaining ingredients in small bowl. Rub over both sides of fish. Cover with plastic wrap. Top with another baking sheet. Weight with heavy object. Refrigerate at least 6 hours or overnight.
Prepare barbecue (medium-high heat). Grill fish until cooked through, about 3 minutes per side. Transfer to plates and serve.
Note: Use a sturdy red wine. Serve with sauteed zucchini. Diagonally slice thickly some zucchini with peel left on and brush with butter, lemon and thyme mixture and grill next to the fish.