Heat the oven to 375 F. In a small bowl, add the onion, capers, dill, mustard and lemon juice. Stir to mix well.
Place each fillet on a square of aluminum foil. Squeeze 1 lemon wedge over each fillet and spread 1/4 of the dill relish over each piece.
Wrap the aluminum foil around the fish and bake until the fish is opaque throughout when tested with a tip of a knife, 10 to 12 minutes. Serve immediately.