It's good to see you thinking outside of the box (to forgive the pun), but I don't think Udemy permit any association with sending out physical goods to students, since it would make them partly responsible for something which is naturally out of their control as a strictly digital platform. We've enquired about giving physical prizes in the past to no avail. Goods at cost, linked to a course which should otherwise be complete, aren't likely to be approved neither with that in mind. The model would also be potentially viewed an an upsell. Udemy will expect the course to be complete with the student able to provide their own tools for participation. That's their knowledge of the content and their control, which in turn allows them to moderate problems, ratings, reviews and refunds in accordance with what the student has purchased and received. There's nothing stopping you from acquiring emails from students (by mailing list services) to retrieve a bonus lesson and to receive future news and updates. Your email list is yours and you can choose to offer anything you so wish, provided that it's moral and linked to your course topic(s). It's quite difficult to sell to people however - even primed students, so you'd need to consider very attractive incentives too to get a fraction of 'bites', assuming the subscription isn't free. It's probably a good idea to focus on your course content first, free of association to products and consider having students subscribe to your list when you've got things built. I would suggest that the goods are maybe linked to some bonus content on your own site. The best of luck with your course.
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