Pour milk into a large mixing bowl. Add sugar, stirring until dissolved. Sprinkle the yeast over the milk mixture. Let stand 5-10 minutes until frothy. If it doesn't foam, throw it out and start over.
Add 2 ½ cups flour, butter and salt. Stir until fully combined. Turn out onto a floured surface. Knead for 5 to 7 minutes or until a soft dough forms, adding additional flour as needed. Dough should remain slightly sticky.
Use vegetable oil to lightly grease a large mixing bowl. Add dough to bowl and turn to coat with oil. Cover with a damp cloth and let rise in a warm place for 1 hour or until double in size.
Preheat oven to 450°F. Spray two large baking sheets with cooking spray or oil.
Punch dough down. Turn out onto a clean, dry work surface. Divide dough into 8 portions. Roll each to a 12-inch rope. Cut each rope into 6 portions. Flatten each portion to a 3-inch circle.
Top each circle with one cube of cheese. Bring up edges of each circle around cheese and pinch to seal and shape into a ball.
In a 4-quart pot or larger, heat water and baking soda to a rolling boil. Use a slotted spoon to carefully lower pretzel balls, in batches, into the soda mixture cooking for 10 seconds each. Remove and place on paper towels to blot dry.
Arrange 2 inches apart on prepared baking sheets. Brush pretzels balls with egg wash. Sprinkle with sea salt.
Bake for 8 minutes or until golden. Serve immediately with mustard or warm cheese dip.
You'll need one 8 oz block of cheese plus half of another 8 oz block of cheese for this recipe.