Preheat the oven to 400°F. Place the salmon fillets in a single layer in a small baking dish or gratin dish. Top each fillet with a bay leaf. Pour the heavy cream over the salmon and sprinkle with the thyme and dill. Bake until the fish flakes easily when pierced with a fork and the cream thickens, about 15 minutes. Place the salmon fillets in a single layer in a small baking dish or gratin dish. 2  Top each fillet with a bay leaf. 3  Pour the heavy cream over the salmon and sprinkle with the thyme and dill.