Step 1 About an hour ahead, remove the Cornish game hens from the refrigerator and bring to room temperature.
Step 2 Heat the oven to 425 degrees. Slice 2 of the lemons paper thin with a knife or a mandoline. With your fingers, carefully loosen the skin from the meat on the breast side of the hens. Insert 5 or 6 lemon slices underneath the skin of each hen. Put any unused slices and the ends of the lemons into the cavities, and rub the salt equally over the 2 hens.
Step 3Cut the remaining 2 lemons into 8 wedges and scatter them in the bottom of a shallow baking pan with the fennel, olives and garlic. Place the hens on top of the fruit and vegetables. Pour the olive oil over the 2 birds, then season with a few grinds of black pepper.
Step 4Roast the hens in the oven for 30 minutes, then lower the heat to 350 degrees and roast for about 20 minutes longer, or until the meat is firm, the skin is golden and the juices run clear (a thermometer placed into the thickest part of the bird will register 165 degrees); the vegetables and fruit will have started to caramelize.
Step 5Let the hens rest 15 minutes, then serve them with the roasted lemons, olives and fennel.