Change your rewrite to add the course query var:
'rewrite' => array('slug' => 'courses/%course%')
Then filter post_type_link
to insert the selected course into the permalink:
function wpa_course_post_link( $post_link, $id = 0 ){
$post = get_post($id);
if ( is_object( $post ) ){
$terms = wp_get_object_terms( $post->ID, 'course' );
if( $terms ){
return str_replace( '%course%' , $terms[0]->slug , $post_link );
}
}
return $post_link;
}
add_filter( 'post_type_link', 'wpa_course_post_link', 1, 3 );
There are also plugins like Custom Post Type Permalinks that can do this for you.