Heat oil in skillet over medium heat. Slice leeks and add to skillet. Saute for 5 minutes or until beginning to soften. Add thyme, salt and pepper. Remove from heat. Grease a 13 x 9 inch (3.5L) baking dish. Cover bottom of dish with layer of bread slices, cutting to fit, if necessary. Top with half of the leeks and half of the cheeses. Repeat layers once. Whisk together mustard and hot pepper sauce in a large bowl; whisk in eggs and cream or milk. Season with salt and pepper. Pour over bread layers. Cover and let sit for 1 hour or overnight in refrigerator.
PREHEAT oven to 180°C (350°F). Bake for 40 minutes or until puffed and set. Let cool slightly before serving.
If using a glass baking dish, reduce temperature to 160°C (325°F).
Substitute vegetables such as mushrooms, onions or spinach for the leeks.
Make this dish up to 1 day ahead of time. Remove from refrigerator and let stand at room temperature for 1 hour before baking.