Place the flour, salt, sugar, instant yeast and warm water into a stand mixer bowl, beat with the dough hook until well-combined.
Turn dough onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Cover and let rise in a warm place until doubled, about 1 hour.
Preheat the oven to 400°F (207°C). In a large saucepan, bring 4 cups of water and baking soda to a boil. Divide the dough into 4 portions.
Roll each dough into a log and then cut into bite-sized pieces (about 1-inch (2.5cm) length).
Add to the boiling water, in batches, for 30 seconds. Remove with a slotted spoon; drain on paper towels.
Place on a baking sheet lined with parchment paper and top them with the salt. Bake the bites for 12 to 15 minutes, until golden brown.
While the bites are in the oven, make the Cheddar Cheese Sauce. Melt the butter in a saucepan over medium heat. Add the flour and stir. Add the milk to the sauce pan and whisk. Add the cheese, whisking constantly until it is melted. Turn off the heat and transfer the sauce to a dipping bowl.
Remove the pretzel bites from the oven, roll them in the melted butter. Serve immediately with the Cheddar Cheese Sauce.