In a large mixing bowl, combine warm water, sugar, and yeast. Let it sit for 5 minutes until foamy.
Add flour and salt to the yeast mixture. Knead until a smooth dough forms, about 5-7 minutes.
Cover and let the dough rise in a warm place for 1 hour or until doubled in size.
Preheat oven to 425°F (220°C).
Divide dough into 8 equal pieces. Roll each piece into a rope, wrap it around a mozzarella stick, and shape into a pretzel.
Bring 6 cups of water to a boil, then add baking soda. Carefully drop pretzels into the boiling water for 30 seconds each, then remove and place on a baking sheet.
Brush pretzels with beaten egg, sprinkle with coarse salt, and bake for 12-15 minutes or until golden brown.
Serve warm for the best gooey cheese pull.