In a small saucepan, heat the milk and the ½ cup water, and the sugar until warm (not to 115°F). Pour into a stand mixer fitted with a dough hook. Sprinkle with yeast and let stand 5 minutes.
Turn dough out onto a clean, dry work surface. Knead a few times by folding and pressing dough, turning dough to knead uniformly, shape dough into a ball. Place in a lightly greased bowl, turning once to grease surface of dough. Cover and let rise in a warm place until double in size (about 1 hour).
Line a large baking sheet with parchment paper. Punch down dough. Turn dough out onto a work surface, divide into 8 equal portions.
Roll and stretch each portion into a 20-inch-long rope. (If the dough does not want to stretch, cover and let rest 10 minutes).
To shape each pretzel, form each rope into a U shape. Twist the ends together twice, then fold the twisted portion back onto the U to form a pretzel shape. Cross ends over each other.
Then twist once. Bring ends down to the bottom of the U shape, press to seal.
In a deep skillet or pot, bring the 5 cups water and the baking soda to a simmer. Using a slotted spoon, lower pretzels, one at a time, into the water for 30 seconds.
Remove pretzels and place on a paper towel-lined baking sheet 2 inches apart on the prepared baking sheet.
In a small bowl, combine egg yolk and the 1 Tbsp cold water. Brush pretzels with egg wash mixture. If you like, sprinkle with coarse salt. Bake at 425°F for 12 to 15 minutes or until deep golden brown.
Cool slightly on a wire rack. Serve warm. Makes 8 pretzels.
