Place the chicken thighs in a dish. Drizzle over the olive oil, rosemary, lemon slices, salt and pepper. Cover and let marinate in the refrigerator for at least 30 minutes. This can be done up to 4 hours in advance.
Preheat the oven to 350°F and have a small 8x8-inch baking dish ready. Preheat a cast-iron pan over medium high heat. When hot, drain each chicken breast of excess oil, and place in chicken thigh in the pan, skin side down. It's fine to sear the lemon slices with the chicken.
Once the chicken is golden brown (4-5 minutes), flip it and sear it on the other side. Once both sides are brown, move the chicken thighs to the baking dish.
Bake for 20 minutes. Test the temperature in the deepest part of the thigh with a food thermometer - it should be 165°F. If it isn't, return it to the oven for 3 minutes intervals, and re-test.