Beat the eggs. Stir together the baking soda, yoghurt and a pinch of salt well and add them to the eggs. Use 2 sheets for each phyllo pastry.
Use a spoon to distribute mixture onto every pair of sheets, sprinkle with crumbled feta cheese. Fold them in 3 in a rectangular shape, while folding the ends inward, so the filling doesn't spill out.
Bake the phyllo pastries in a preheated grill pan, smeared generously with oil. Once grilled, flip the phyllo pastries over to grill on the other side.
The stove must not be too hot, so that the phyllo pastries don't burn.