In the bowl of an electric mixer (or you can do this by hand in a large bowl), stir together the yeast, oil, milk and water. Add the salt and two cups of the flour. Add the rest of the flour gradually until a soft dough is formed and knead for 3-4 minutes. You may not need to use all the flour depending on many different factors (see the note) - add the flour until a soft dough is formed that clears the sides of the bowl. It is similar in texture to bagel dough and should be slightly more stiff and less sticky than, say, roll dough, but definitely still soft and not overfloured.
Transfer the dough to a lightly greased bowl, cover it with greased plastic wrap and let it rise until doubled in size (1-2 hours).
Portion the dough into 16 pieces and roll each piece of dough into a lovely little round ball. Here's a great tutorial on how to do that quickly and efficiently.
Lay out the rolls on lightly greased parchment or a lightly floured counter. Make sure the dough balls won't stick! Let them rest for 15-20 minutes.
While the dough rests, bring the water, sugar and baking soda to a boil in a large 5-6 quart saucepan.
Working with one piece of dough at a time, carefully take it off the parchment or counter, flip it over in your hand and pinch the bottom to form a little pucker and help the dough form a nice, taut ball. Take care not to deflate the dough; you should pinch just the very edge of the dough.
Place 3-4 dough balls in the boiling water and boil for 30 seconds to 1 minute on each side (the longer you boil, the chewier the baked pretzel roll will be).
With a spatula, remove the dough from the boiling water and let the excess water drip off into the pan. Place the boiled dough balls onto lined baking sheets (lined with lightly greased parchment or a silpat liner).
Preheat the oven to 425 degrees F.
Using a very sharp knife or razor, slice 2-3 cuts into the top of each unbaked roll about 1/4-inch deep or so. It's important to use a very sharp blade so that it cuts the dough without deflating it. It's ok if the dough looks wrinkly and kind of funny. It will work itself out during baking. Lightly sprinkle each dough ball with coarse salt.
Bake for 20-22 minutes until the rolls are deep golden brown. These rolls definitely taste best the same day they are made; however, lightly warmed in the microwave for a few seconds will do wonders for pretzel rolls 1-2 days old.
Flour Amount:as with all yeast doughs, I never use the flour amount called for in the recipe as a hard fast rule (unless a weight measure is given and then I pull out my kitchen scale). Because humidity, temperature, altitude and a multitude of other factors can impact how much flour you need in your yeast doughs, I always judge when to quit adding flour by the texture and look and feel of the dough rather than how much flour I've added compared to the recipe. Yeast: this tutorial on yeast may help identify how a perfectly floured dough should be. For this pretzel dough, you are going for a slightly stiffer dough than regular roll dough (but it should still be soft and not overfloured).