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Step 1
Preheat oven to 160C. Place 4 large pieces of baking paper (about 40cm long) on a work surface and top each with another piece at an angle. Divide lamb shanks among sheets and pull up sides of paper to prevent liquid escaping. Combine remaining ingredients in a bowl and spoon onto each shank, then season to taste. Fold paper up around the shanks and secure with kitchen string. Place parcels in a baking dish and bake until lamb falls from the bone (2¾-3 hours; unwrap a parcel to check).
Step 2
For fennel and celeriac salad, whisk olive oil, vinegar and mustard in a bowl. Season to taste, then add fennel, celeriac and shallot and toss to combine. Unwrap lamb parcels, top with extra oregano and serve with fennel and celeriac salad.