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