In a bowl, mix the warm milk with the yeast and sugar. Let sit 5–7 minutes until frothy.
Add melted butter, salt, and one cup of flour to the yeast mixture; stir until combined. Then gradually add the remaining flour, one cup at a time, until you have a smooth dough. Knead 3–5 minutes until elastic.
Cover the dough and let it rise in a warm spot for about 1 hour, or until it doubles in size.
Preheat your oven to 425 °F (220 °C). Line baking sheets with parchment paper.
Once the dough has risen, divide it into 12 equal pieces. Roll each piece into a long rope, then twist it into a pretzel shape.
In a pot, bring water to a boil. Add the baking soda until dissolved. Drop each pretzel into the boiling baking-soda water for about 20–30 seconds, then remove with a slotted spoon and place onto the prepared baking sheets.
Bake for 7–11 minutes, or until the pretzels are golden brown.
While pretzels are still warm, brush generously with melted butter. Then mix the sugar and cinnamon, and roll or sprinkle each pretzel in the cinnamon–sugar mixture to coat.
Let them cool slightly and enjoy warm for the best texture and flavor.