Combine the yoghurt with the baking soda and stir until it becomes effervescent. Smear each phyllo pastry sheet with a little oil and the yoghurt.
Sprinkle with crumbled feta cheese and wrap into a roll. Then fold the 2 ends inward, to get a compact phyllo pastry.
Arrange them in a wide, oiled tray. Smear with the rest of the mixture on top.
Bake in a preheated 356°F (180 °C) oven for about 30 min. until reddened. Bon appetit!