Step 1: Prepare the Dough
1. Activate Yeast: In a large mixing bowl, combine warm water, yeast, and sugar. Let it sit for about 5 minutes until foamy.
2. Mix Ingredients: Add flour and salt to the yeast mixture. Stir until a dough forms.
3. Knead Dough: Transfer the dough to a floured surface and knead for about 5–7 minutes until smooth and elastic.
4. Let Rise: Place the dough in a greased bowl, cover with a damp cloth, and let it rise in a warm place for about 30 minutes or until doubled in size.

Step 2: Prepare the Cream Cheese Filling
1. Mix Filling: In a bowl, combine the softened cream cheese, powdered sugar, and vanilla extract (if using). Mix until smooth and well combined.

Step 3: Shape the Pretzels
1. Preheat Oven: Preheat your oven to 425°F (220°C). Line a baking sheet with parchment paper.
2. Divide Dough: Punch down the risen dough and divide it into 10 equal pieces.
3. Roll and Fill: Roll each piece into a rope about 12 inches long. Place a tablespoon of cream cheese filling in the center and fold the dough over to seal. Pinch the edges to ensure the filling is enclosed.
4. Shape Pretzels: Twist the filled dough into a pretzel shape (or keep them as sticks if preferred).

Step 4: Boil the Pretzels
1. Prepare Baking Soda Solution: In a large pot, bring about 10 cups of water to a boil and add the baking soda.
2. Boil Pretzels: Carefully drop each pretzel into the boiling water for about 30 seconds. Remove with a slotted spoon and place on the prepared baking sheet.

Step 5: Bake the Pretzels
1. Egg Wash: Brush each pretzel with the beaten egg and sprinkle with coarse sea salt.
2. Bake: Bake in the preheated oven for 12–15 minutes, or until golden brown.

Step 6: Serve
1. Cool and Enjoy: Allow the pretzels to cool slightly before serving. Enjoy them warm for the best creamy experience!