Heat oven to 400°. In a bowl, combine flour, cheese, baking powder, sugar and salt. Cut in butter until crumbly. Stir in milk just until moistened. Knead on a floured surface for 1 minute; divide in half. Roll each portion into a 12x8-inch rectangle; cut each into 8-inch long strips. Fold strips in half lengthwise, pinching the edges. Twist into pretzel shapes. Place on greased baking sheets. Brush with egg and sprinkle with coarse salt. Bake for 12 to 15 minutes or until golden brown. Serve immediately. Yields 1½ dozen.