In a large bowl or the bowl of an electric mixer, stir together the yeast, oil, milk, and water. Add salt and two cups of flour. Then add more flour gradually until the dough begins to form and clears the sides of the bowl. Knead for 3-4 minutes. The dough will be soft and slightly tacky. It is a stiffer, heavier dough than your usual roll dough though.
Lightly grease a large bowl and place the dough in the bowl, cover with greased plastic wrap, and let rise until doubled in size, about 1 hour.
Portion the dough into 16 equal pieces. Roll each piece into a dough ball and place onto lightly greased parchment paper or silicone baking mats. Let the dough rest for 15-20 minutes.
While the dough rests, add the 3 quarts water, sugar, and baking soda to a 5-6 quart pot and bring the water to a boil.
Carefully remove the dough balls one at a time from the parchment or mat and gently pinch the sides of the bottom of the dough in to the bottom of the ball. You are pulling the dough taut by forming a pucker of dough on the bottom. Don't totally deflate the dough ball though.
Gently drop 3-4 dough balls into the boiling water and boil for about 30 seconds each side. The longer you boil, the chewier the pretzel roll will be. Remove the dough ball from the water with a slotted spoon or spatula, letting the excess water drip off.
Place boiled dough balls onto baking sheets lined with parchment or silicone baking mats.
Preheat oven to 425°F/218°C.
Use a very sharp knife or razor to make two parallel shallow cuts in the top of each roll. Lightly sprinkle the tops of the rolls with coarse salt or kosher salt.
Bake for about 20 minutes, until the rolls are a deep golden brown.
Best served same day, but can be warmed lightly in the microwave the next day or two.