Preheat oven to 425 degrees F (220 degrees C). Grease a baking sheet.
In a large bowl, dissolve baking soda in warm water. Stir in flour, sugar and salt. Turn dough onto a lightly floured surface and knead 10 times. Divide dough into 8 equal pieces.
Roll each piece of dough into a rope about 12 inches long. Wrap the rope of dough around each hot dog and press the ends to seal.
Place on greased baking sheet and brush with vegetable oil.
Bake in preheated oven for 15 minutes or until golden brown.