For the soft pretzels: If using frozen pizza dough, let thaw in your refrigerator overnight.
Preheat oven to 450 degrees F. Line two large baking sheets with parchment paper.
Place pizza dough on a well-floured surface. Divide dough ball into 8-10 portions. Roll each piece into a 24” inch long rope and twist into a pretzel shape (handy video here). Place on the prepared baking sheets.
In a large bowl, dissolve baking soda in 4 cups hot water. Dip each pretzel into the baking soda-hot water mixture and place pretzels on baking sheets. Sprinkle with kosher salt.
Bake in preheated oven until risen and golden brown, 7-8 minutes.
For the cheese sauce: In a medium pot or pan set to medium heat, melt butter. Whisk in flour; cook for 1 minute. Whisk in milk and cook until bubbly and slightly thickened. Remove from heat and stir in cheese until melted and well blended. Stir in cayenne pepper, if desired. Serve warm with soft pretzels.
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