Another method is to copy and paste the udemy course url to Allavsoft and click Download button

I use a software called Allavsoft to download Udemy videos. I find this great app according to this article http://www.allavsoft.com/how-to/download-udemy-videos.html

After have a try, I find it also helps to download video from Lynda, Craftfy, Digital Tutors, Coursera, etc

I like its batch downloading and directly download video to MP4, AVI etc.

Hope it also helps for you.