Preheat oven to 425 degrees F. In a 9-by-13-inch baking dish, toss 1 1/2 bunches baby beets or 1/2 bunch medium beets (about 3/4 pound total), scrubbed, with 1 1/2 teaspoons extra-virgin olive oil. Season with coarse salt and freshly ground pepper. Cover dish tightly with foil and roast until tender when pierced with a knife about 45 minutes (depending on size). When cool enough to handle, rub beets with a paper towel to remove skins.
Meanwhile, in a small bowl, whisk together 1/4 cup plain yogurt, a pinch of ground cumin, and 1 1/2 teaspoons fresh lemon juice; season with salt and pepper. Spoon yogurt sauce alongside beets, sprinkle with chopped fresh dill, and serve with lemon wedges.