Just rub the onions (I actually only made one although the recipe calls for 6) down with a little olive oil and toss them in the oven until they're completely tender, about 40 minutes. They can be placed directly on the oven rack but definitely put a pan underneath the onions -- they'll drip.
Once the onions are out of the oven and cool enough to touch, lop off the tops and pull out the soft insides with a fork, leaving a few outer layers to hold the original shape.
Chop up the leaves that were extracted and sauté them with diced pancetta -- once the pancetta starts to brown add in chicken stock and season with salt, pepper, and thyme. Stir in chopped walnuts and cook for about 10 minutes, until the chicken stock has all been absorbed.
Stuff the onions with the pancetta mixture and pop them back in the oven for about 20 minutes, then serve immediately.
We weren't really sure how to eat this, so we pretty much just ate the pancetta stuffing out. I think the outer layer of onion must have really just been for looks. The stuffing was great, though -- both of us really enjoyed it. The walnuts gave a nice crunch, and everything was coated with oniony-pancetta-y love.
onion -- $.99
pancetta -- $3.99 (most is leftover)
chicken stock -- $3.50 (3/4 is left over)
Total Cost of Walnut Stuffed Roasted Onions: $8.48
($8.48 per serving -- though with so many ingredients leftover, this would have been much cheaper to make in bulk)