Mix together the yoghurt and baking soda, stir well so that it can bubble.
In the meantime, beat the eggs in a bowl. Then add the yoghurt and oil.
Smear each phyllo pastry sheet generously with this mixture using a brush and sprinkle on feta cheese.
Roll up the sheets and arrange them in an oiled tray.
Bake in a preheated 356°F (180 °C) oven.