Toast the cumin seeds in a small sauté pan over medium heat until the seeds are fragrant and start to pop in the pan. Remove from the heat and grind in a spice mill.
Place the cumin onion, garlic, paprika, and lemon juice in a food processor or blender and pulse to liquefy. Add the yogurt and pulse just until blended.
Put the chicken thighs in a shallow nonaluminum baking dish or bowl. Pour the marinade over the chicken and toss well to coat. Let stand at room temperature at least 2 hours or cover and refrigerate overnight.
Preheat the broiler or make a charcoal fire. Thread the thighs if using on 4 skewers. Sprinkle the chicken with salt and pepper. Broil or grill until the juices run clear, about 6 minutes each side. Serve hot with lemon wedges.