Making mozzarella stuffed soft pretzels is simple when you follow these steps:

1. Prepare the Dough: In a mixing bowl, combine the flour, yeast, salt, and sugar. Gradually add the warm water and melted butter. Mix until a dough forms.
2. Knead the Dough: Turn the dough onto a floured surface and knead for about 5-7 minutes, until smooth.
3. Let Dough Rise: Place the dough in an oiled bowl, cover it with a clean cloth, and allow it to rise in a warm area for about 30 minutes, or until doubled in size.
4. Boil Water with Baking Soda: While the dough rises, fill a large pot with water and bring it to a boil. Add about ¼ cup of baking soda to the boiling water.
5. Shape the Pretzels: Once risen, punch down the dough. Divide it into 8 equal pieces. Roll each piece into a long rope, about 20 inches long. Form a U shape, twists the ends together, and then press them into the base of the U to form a pretzel shape.
6. Stuff with Cheese: Take each pretzel and place a piece of mozzarella in the center, pinching the dough around to seal it closed.
7. Boil the Pretzels: Gently drop each pretzel into the boiling water for about 30 seconds, flipping halfway. Remove and place on a baking sheet lined with parchment paper.
8. Egg Wash: Beat the egg and brush it generously over each pretzel. Sprinkle coarse sea salt on top.
9. Bake: Preheat your oven to 450°F (232°C) and bake the pretzels for 12-15 minutes, or until golden brown.
10. Cool and Enjoy: Allow the pretzels to cool slightly before serving. Enjoy warm with your favorite dipping sauce!

By following these steps, you will create indulgent mozzarella stuffed soft pretzels that will surely be a hit with everyone.