Halve red sweet pepper; remove and discard stem, seeds, and membranes. Cut each pepper half in half again. Place pepper quarters, cut sides down, on a foil-lined baking sheet. Bake in a 425 degree F oven for 20 to 25 minutes or until pepper skins are blistered and dark. Immediately wrap pepper pieces in foil or place in a clean paper bag. Seal foil or close bag and let stand about 30 minutes to steam so the skins peel more easily. Remove pepper pieces from bag; peel and discard skin. Chop pepper. In a medium saucepan, cook the chopped sweet pepper, garlic, thyme, and ground red pepper in cooking oil for 1 minute. In a small bowl, stir melted butter and flour together until smooth. Add to mixture in saucepan. Cook and stir for 3 to 4 minutes or until light brown. Add chicken stock or broth and whipping cream. Stir until smooth. Cook and stir until thickened and bubbly. Cook and stir 2 minutes more. Remove sauce from heat and cool slightly. Pour into a blender container or food processor bowl. Blend or process until smooth. Return sauce to pan and heat through. Makes about 2-1/2 cups.