Soak wood chips in enough water to cover for 1 hour. Drain wood chips.
For a charcoal grill, arrange medium coals around a drip pan. Test for medium-low heat above pan. Sprinkle wood chips over coals. Place tomatoes, cut sides down, on grill rack over drip pan. Cover; grill for 30 minutes. (For a gas grill, preheat grill. Reduce heat to medium-low. Adjust for indirect cooking and place wood chips in a pierced foil packet over the lit burner. Grill as above.) Remove tomatoes from grill. Cool slightly; remove cores.
In a large saucepan, heat oil over medium-high heat. Cook onion in hot oil until tender but not brown, stirring occasionally. Stir in smoked tomatoes, water, tomato paste, sugar, thyme, garlic, bay leaf, salt and pepper. Bring to boiling; reduce heat. Cover and simmer for 20 minutes. Remove from heat and cool for 10 minutes. Remove and discard thyme sprigs and bay leaf.
Press tomato mixture through a food mill. (Or, place one-third to one-half of the mixture at a time in a blender or food processor. Cover and blend or process until smooth. Repeat with the remaining mixture.) Set a sieve over a large bowl. Strain tomato mixture through sieve; discard pulp and seeds.
Return strained tomato mixture to the saucepan; heat through. Season to taste. Makes 4 to 6 side-dish servings.