Break a pretzel carefully into two pieces. Put a dab of glue on the broken ends and reassemble the pretzel around another one, so that the two pretzels interlock.
Hold the interlocking pretzels in the fingers of your left hand, positioned so that audience cannot see them, but in such a way that you don't appear to be hiding anything. Keep the fingers as relaxed as possible without the pretzels falling out.
Present the two remaining, unconnected pretzels to the audience, holding them between your fingertips.
Deposit the two unconnected pretzels visibly into the palm of your right hand.
Perform the transformation. Turn your right hand rapidly away from the audience while jerking it toward your left hand. Move your thumb to catch the loose pretzels as you do so, to keep them from falling. At the same time, turn your left hand up so that the audience can see the interlocking pretzels, shaking them a little to make them bounce. When performed smoothly, with your hands fairly close together, the loose pretzels will appear to fly into your left hand and spontaneously link.