Mix first 6 ingredients (flour, salt, yeast, sugar, oil and 2/3 cup water) in a large bowl until a dough forms. Place a piece of parchment paper on your counter and sprinkle it with flour. Knead the dough for about 5 minutes.
Coat the inside of the mixing bowl with olive oil. Return the dough to the bowl and let rise at least 1 hour. You can let it rise longer for better flavor.
When ready to cook, divide the dough into 4 pieces, then divide each of those pieces in half giving you 8 pieces. Divide each of the 8 pieces into 4 small pieces, giving you a total of 32 small dough balls.
Fill a large stainless steel stockpot half way (or measure out 12 cups of water). Add the baking soda and sugar and bring the water to a boil, stirring from time to time.
Start preheating the oven to 450 degrees. Place a baking dish filled with water into the oven to create steam which will help the pretzels brown.
Open the cocktail sausages and dry them off on a paper towel.
Flatten the first piece of dough into a small rectangle. Wrap the dough around a cocktail sausage. Continue until all the sausages have been wrapped. You may be left with a few extra dough pieces.
At this point, you can let the dough rise again for about 10-20 minutes. Or start boiling them immediately beginning with the ones you wrapped first.
Working in small batches of 4-6 sausages, gently place the wrapped sausages into the boiling water. Allow them to boil for 15-20 seconds, then remove with a slotted spoon and allow them to drain on a paper towel. Boil the extra dough pieces the same way. The dough should puff up slightly during boiling.
When all sausages have been boiled and drained, place them on a parchment lined baking sheet. Don’t skip the parchment since the baking soda solution will be corrosive to an aluminum baking sheet. You may have to rewrap the dough around the sausages since the seam tends to come apart in the boiling water.
Sprinkle with coarse salt.
Bake for about 15 minutes or until deep golden brown.
