Lay the leeks on a piece of aluminium foil, season with salt and pepper and bring the edges of the foil up to enclose the leeks leaving the top open. Pour over the white wine and add the butter and thyme, then seal the foil to make a parcel. Bake for 10-15 minutes, or until the leeks are soft.
Meanwhile, preheat a deep-fat fryer to 180C, or fill a large, deep saucepan two-thirds full with oil and heat until a small piece of bread turns crisp and golden-brown within a minute of adding it to the oil.
Season the sole fillets with salt and pepper. Heat the olive oil in a large frying pan. Once hot, add the fish and cook for 3 minutes on each side.
Meanwhile, place the shrimps in the deep-fat fryer and cook for 1-2 minutes until golden-brown and crisp. Once cooked, remove from the fryer using a slotted spoon and drain on a plate lined with kitchen roll. Add the capers and deep fry for 1 minute. Remove using a slotted spoon and set aside.
In a saucepan melt the butter until it becomes a light-brown colour, then add the lemon juice and set aside to cool. Add the brown shrimp, lemon segments and parsley.
To serve, place the sole fillets on serving plates. Add the leek then pour the butter over the sole, then finish with the deep-fried capers.