In medium bowl, combine flour, cheese butter, baking powder, sugar and salt with a fork until well mixed. Stir in ½ c. milk; toss to moisten flour. Add more milk if needed, until mixture holds together. Gather into a ball; knead 10 times in bowl just until smooth.
Preheat oven to 400 degrees. With lightly floured rolling pin, roll dough into a 12 x 8 inch rectangle. Cut lengthwise into 16 strips, each ½ inch wide and 12 inches long. With palms of hands, roll each strip against work surface to form a smooth rope. Twist each into a pretzel shape and press ends down to seal; place on greased or foil-lined cookie sheet.
Beat egg in small cup. Brush pretzels with egg; sprinkle lightly with salt. Bake 15 minutes or until golden brown.