1. In a small bowl, dissolve the sugar and yeast in warm water. Let it sit for 5 minutes until the mixture becomes foamy.
2. In a large bowl, combine the flour and salt. Add the yeast mixture and melted butter. Stir until the dough begins to come together.
3. Knead the dough on a floured surface for about 5-7 minutes, or until the dough is smooth and elastic.
4. Place the dough in a lightly oiled bowl and cover with a damp cloth. Let it rise for 1 hour, or until it doubles in size.
5. Preheat your oven to 450°F (230°C). Line a baking sheet with parchment paper.
6. Bring a large pot of water to a boil. Add the baking soda to the water.
7. Punch down the dough and divide it into 8 equal pieces. Roll each piece into a long rope, about 18 inches long, and shape it into a pretzel by forming a “U” shape, crossing the ends over each other, and then folding them down.
8. Carefully drop each pretzel into the boiling water for about 30 seconds, then remove with a slotted spoon and place them on the prepared baking sheet.
9. Brush the pretzels with the beaten egg and sprinkle with coarse salt.
10. Bake for 10-12 minutes, or until golden brown. Let the pretzels cool slightly before serving.

For the Cheese Dip:

1. In a medium saucepan, melt the butter over medium heat.
2. Stir in the flour and cook for about 1 minute to make a roux.
3. Gradually whisk in the milk and cook, stirring constantly, until the mixture thickens and begins to simmer.
4. Reduce the heat to low and stir in the shredded cheese until melted and smooth.
5. Add the garlic powder, paprika, salt, and pepper to taste. Stir to combine.
6. Serve the warm cheese dip alongside the soft pretzels.