Spray baking sheet with no-stick cooking spray. Place rolls onto sheet; cover lightly with plastic food wrap. Let rise at room temperature 1 1/2-2 hours or until completely thawed and rolls feel soft.
Stack 2 quarters cheese; fold in half. Fold in half again, forming small cube. Press cheese into center of roll; seal dough around cheese, pinching edges tightly. Repeat with remaining cheese and rolls. Place onto baking sheet; let rest 15 minutes.
Heat oven to 425ºF. Line another baking sheet with parchment paper; set aside.
Place water into large saucepan; bring to boil over high heat. Carefully add baking soda and sugar. (Water will bubble up, then return to a gentle boil.) Drop 4 rolls into gently boiling water; cook, turning once, about 30 seconds per side or until surface of dough has lightly bubbled appearance. Remove with slotted spoon; place onto parchment-lined baking sheet. Repeat with remaining rolls.
Brush each roll with beaten egg; sprinkle with coarse salt. Bake 14-16 minutes or until golden brown. Cool 3 minutes. Serve warm.
- To make ahead and freeze, prepare according to directions. Allow to cool completely 1-2 hours. Store in resealable plastic food bag in freezer.
- To reheat, place onto parchment-lined baking sheet. Bake at 425ºF, 15 minutes or until deep golden brown and cheese is melted in center. Cool 3 minutes. Serve warm.
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