Preheat oven to 425 degrees F. Line a large baking sheet with parchment paper and spray with cooking spray.
Quarter each biscuit then roll piece into a ball. Pinch to seal. In a medium saucepan, combine water and baking soda. Bring to boil then reduce to a simmer. Add the rolled balls and cook for 1 minute. Remove with a slotted spoon and transfer to baking sheet, making sure the pretzels aren't touching. Brush beaten egg over each pretzel. Sprinkle with salt. Bake for 10-15 minutes or until golden brown. Let cool for 10 minutes before serving.
Meanwhile, make cheese sauce. Melt butter in a small saucepan over medium heat. Whisk in flour and cook for about 1 minute. Stir in milk and bring to a simmer. When the milk begins to thicken, stir cheese, whisking constantly until sauce is smooth. Season to taste with salt, pepper and cayenne.
Recipe by 5* trending recipes with videos at https://food.theffeed.com/2018/01/25/soft-pretzel-bites-2/