1. Preheat oven to 425 degree F.
2. Remove leg from mushrooms, to make place for stuffing.
3. In food processor, add garlic, dill, and mushroom legs. Chop them finely.
4. In a mixing bowl, add mushroom and dill mixture.
5. Drop bread crumbs, Parmesan cheese, thyme leaves, lemon zest, and lemon juice.
6. Add salt , pepper, and cayenne pepper. Mix well.
7. Put cream cheese and mix to incorporate.
8. Line a baking tray with parchment paper, and place mushrooms on it.
9. Pour oil and coat mushrooms with it. Arrange mushrooms with opening part up.
10. Fill them with cream cheese mixture. Pop them in oven and bake for 15-20 minutes or until done.
11. Serve stuffed mushroom with cream cheese dip.