Cook the bacon in a large skillet. Lay the bacon strips in the cold pan and then put it over the burner over medium heat. Cook until crispy, flipping once, about 10 minutes. Drain on paper towels and crumble.
Make your dough by dissolving the yeast and brown sugar in the water.
Add in the bacon drippings, crumbled bacon, cheddar and flour and mix until combined. No need to knead. Let the dough rise in a warm place until almost doubled (about 20 minutes).
While the dough is rising, make the cheese sauce by melting the butter in a medium-size saucepan. Whisk in flour and ground mustard to form a paste. Pour in milk while whisking and bring to a simmer. Turn the heat to low and stir in cheddar and cream cheese until melted and smooth.
Line a baking sheet with parchment paper or spray with non stick cooking spray. Preheat oven to 500 degrees.
Divide the dough into 8 golf ball sized lumps. Roll each ball into a snake or rope. Cut them with a butter knife into bite sized pieces.
In a large glass, mix together warm water and baking soda. Dip the pretzel dough bites into the water and lay out on the baking sheet.
Bake at 500 degrees for 5-8 minutes, until golden brown.