Place the cedar plank (one large enough to hold all 4 salmon filets) in cold water and soak for at least an hour.
Preheat the grill to medium. Combine lemon zest, thyme and sugar in a small bowl. Place the salmon filets on the cedar plank and brush with olive oil. Rub the lemon-thyme mixture over the surface of salmon filets. Season the filets with salt and pepper.
Place the cedar plank with the salmon on it on the grill. Cover and cook over medium heat until salmon is just opaque throughout, about 12-20 minutes. The cooking time will vary based on the thickness of the filets and the heat of the particular grill.
Meanwhile, make the sauce. Combine all ingredients in a small bowl and season to taste with salt and pepper. Set aside.
Carefully remove the cedar plank from the grill. Lift the filets off of the cedar plank using a thin metal spatula, leaving the skin behind on the plank. Serve immediately with the Creamy Horseradish Sauce.