Mix warm water, yeast, sugar, and a pinch of salt in a large bowl. Let sit for 5 minutes until foamy, signaling the yeast is active.
Add the flour gradually to the yeast mixture, kneading with your hands or a dough hook until the dough becomes smooth and elastic, about 8-10 minutes.
Cover the dough with a damp cloth and let it rise in a warm spot for about 1 hour, or until it has doubled in size.
Once risen, punch down the dough and divide it into small pieces. Roll each piece into a 10-inch rope, then shape into a bite-sized loop, pressing in small cubes or shreds of cheese into the center of each loop.
Preheat your oven to 220°C (425°F). Prepare a large pot with 4 cups of water and add the baking soda, bringing it to a boil.
Carefully drop the shaped pretzels into the boiling water bath, a few at a time, and let them boil for about 30 seconds each—watch for foam and shimmer to appear on the surface.
Use a slotted spoon to remove the pretzels from the water and place them on a parchment-lined baking sheet.
Brush the pretzels with beaten egg to give them a shiny, golden finish. Sprinkle generously with coarse salt and any other toppings you like.
Bake the pretzels in the preheated oven for 12-15 minutes, until they are golden brown and crispy around the edges.
Remove from the oven and let them cool slightly on a wire rack, allowing the cheese to ooze and the crust to crisp up.
Serve warm, enjoying the gooey cheese stretch and crispy, salty crust in every messy, cheesy bite.
