Well, it's way cheaper than 6000 baht from BKK to Udon, even return.
If you are flying with Thai, they maybe able to give you a special price. If not Nok might be your best bet. You can book them youself in advance on the Internet, through
www.nokair.com, or take a chance booking at the airport when you get there.
NB. Be careful though, as assuming you will be arriving on an International flight, you will be arriving at Suvarnabhumi (the new Bangkok airport) and the Nok domestic flights to Udon go from the old Don Muang Bangkok airport. So allow a few hours to clear Immigration, transfer and check-in at the other airport.