Preheat your oven to 425°F. Line a large baking sheet with parchment paper and give it a quick spray of cooking spray.

Let's make those pretzels: Cut each biscuit into quarters, then roll each piece into a ball. Use a knife to carve an X into the top of each ball. In a medium saucepan, bring the water and baking soda to a boil, then reduce to a simmer. Add the biscuit balls and cook for about 30 seconds. They'll float to the top when they're done. Use a slotted spoon to transfer them to the baking sheet, making sure they're not touching. (Don't fret if they look a little messy now—they'll turn into pretzel perfection in the oven.) Brush beaten egg over each pretzel, then sprinkle with coarse salt.

Bake for 10 to 15 minutes or until they're beautifully golden brown.

While the pretzels bake, let's whip up the cheese sauce: Melt the butter in a small saucepan over medium heat. Whisk in the flour and cook for about 1 minute. Gradually stir in the milk and bring it to a simmer. Once the milk starts to thicken, add the cheese, whisking constantly until the sauce is smooth. Season with salt, pepper, and a pinch of cayenne to taste. Serve it up with those irresistible pretzels and enjoy the cheesy goodness!