Line 2 large baking sheets with parchment paper. Set aside.
In a large bowl, stir together warm water and yeast. Let stand until foamy, about 10 minutes. If your mixture doesn't foam, start again with new yeast.
In a small bowl whisk together flour, brown sugar and kosher salt.
Add flour mixture and butter to the yeast mixture. Stir until well combined.
After dough has come together, knead the dough on a very lightly floured surface until smooth, about 8 minutes.
Place dough in a lightly oiled bowl (or sprayed with non-stick cooking spray). Cover with a kitchen towel and let rise at room temperature for 2 hours, or until doubled in size.
Preheat oven to 450 degrees. Place racks in upper and lower third of oven.
Punch dough down and divide into 4 equal pieces. Form each piece into 4 balls. Roll each ball into a long rope and cut each rope into 1-2 inch nuggets, and place on parchment lined baking sheets.
In a large 5 quart pot, bring 8 cups of water and 1/2 cup baking soda to a boil.
Add 12 nuggets at a time to boiling water and cook for 30 seconds. Remove from pot with a slotted spoon and place on parchment lined sheets.
Immediately sprinkle nuggets with pretzel salt.
Repeat with remaining nuggets.
Bake pretzels for 10-12 minutes or until golden brown.
Transfer to wire racks to cool.
For the cheese Sauce:
In a medium saucepan, melt 2 Tbsp. butter over medium heat.
Whisk in flour and cook for 1 minute, stirring constantly.
Slowly whisk in the milk and bring to a simmer, stirring constantly, about 4-5 minutes.
Lower the heat and add the cheese and cayenne pepper. Whisk until the cheese is melted and smooth.