Extinguish the baking soda in the yoghurt, then knead a stiff dough. It's going to be sticky, so form the cigars with oiled hands. Don't make them too thick, so they fry well.
Make them about 1/2″ (1 cm) thick. Prepare them all beforehand by forming them and arranging onto foil. In the meantime, you can put the oil to heat up.
Be sure to have plenty of oil (it needs to cover them when you initially drop them in it). They will rise to the surface once ready but you can leave them to cook until golden.