In 11x8-inch baking dish, soak skewers in water at least 30 minutes.
Meanwhile, in 1-gallon resealable food-storage plastic bag, mix oil, lemon peel, lemon juice, thyme leaves, salt and garlic. Slice beef across the grain into 1/4-inch strips. Place beef in oil mixture. Seal bag; refrigerate 2 to 4 hours to marinate.
Meanwhile, in blender or food processor, place sauce ingredients. Cover; blend on high speed until smooth.
Thread beef on skewers, twirling 2 to 3 beef strips around each skewer to look like worms. Reserve any remaining marinade.
Set oven control to broil. Place skewers on broiler pan. Broil with tops 4 to 6 inches from heat 3 minutes. Turn skewers, and brush with marinade. (Discard any remaining marinade.) Broil 2 to 3 minutes longer or until desired doneness. Serve with sauce.