Bring a pot filled with 2 quarts of water to a boil and add slowly add the baking soda. Keep at a simmer.
Meanwhile, spread out the pizza dough onto a lightly greased baking sheet and cut into 8 equal size rectangles. Top each rectangle with a cheddar cheese stick, and fold the dough around the stick, making sure to pinch the seams closed. Try to not let the dough stretch too thin or it might ooze cheese out while baking.
Use a slotted spoon to quickly dip the cheese sticks into the boiling water and then place back on the baking sheet.
Whisk an egg with 1 tbsp cold water and brush the tops of each stick with the egg mixture. Sprinkle with as much coarse salt as you would like. Bake for 10 to 12 minutes, or until the tops are a deep golden brown. Let cool slightly before enjoying!
*I used a 1 lb. block of sharp cheddar cheese to cut my own cheese sticks. I cut them about 1/2 inch thick on the short end of the cheese block, so they would fit nicely in the dough.