See if it's possible to attend a service at Medieval Synagogue. You'll learn about some of the customs and practices of the Jewish faith.
You'll be spoiled for sightseeing choice when staying in Sopron. Medieval Synagogue is a good place to start here, but there are plenty of other fine spots to explore. Goat Church, Main Square, and Petofi Theatre are close to the Jewish house of worship and will fill in your day nicely.