In order to execute the cheese you'll need:
1. You must have the fog gate active (you can activate the boss fight early by killing the NPC in her area)
2. You have to acquire a bow (A longbow can found close to the first bonfire in High Wall of Lothric)
3. As many arrows as possible, preferably 99 wood or standard arrows (can be bought from Shrine Handmaid or Greirat)

1. Approach the fog door and kill these 2 Lothric Knights (pictured below)

2. Position yourself in front of the fog door exactly as shown in the image below

3. Traverse the fog and start spamming backstep/roll
4. If you did it correctly, the Dancer should be frozen in place
5. Do not move, as it will start the boss fight and fail the cheese
6. You can damage the Dancer by shooting arrows with your bow, this will not activate the boss fight

7. Shoot arrows until her health is depleted, it will take a while
8. That's it, now you have access to the Lothric Castle and can progress the story further!

This exact method worked for myself, and I hope it helps you too. If it did, please consider rating and favoriting the guide!