Step 1Clean the fish, removing the fins and cutting away the bony little triangle just behind the gills that contain the side fins. Rinse well in cold water and pat dry. Cut two diagonal slices angling from head to tail in both sides of each fish, cutting almost but not entirely through the flesh.
Step 2Cut each bay leaf in half lengthwise, then into quarters. Slip a piece of bay leaf into each of the slits in the fish. Season with salt and a few flakes of dried red pepper on both sides and brush lightly with olive oil.
Step 3Cut 4 squares of aluminum foil big enough to hold the fish. Lay 4 slices of lemon in an overlapping line down the center. Place the fish on top. Seal the aluminum foil by crinkling the edges over to form a package. Refrigerate until ready to use.
Step 4When ready to cook, heat the oven to 350 degrees. Place the packages on a jellyroll pan and bake 20 minutes. Mackerel is done when the flesh is firm and slightly dense, not flaky. Place each package on a plate with lemon wedges and let the diners open them themselves.