The rules are that you must stay in the country you applied for the visa until it is processed and you have the result. If it is found you have left the country, you face the prospect of having your application rejected/cancelled. However, I am sure there are others that have done exactly what you are suggesting 🙂
I have not seen anyone posting they were asked to show this at a port of entry. If they were they would need to show the classes were booked, maybe by a letter from the school and a paid invoice.
Back in the days of Lonely Planet Forums etc they were a running joke. I have never ever worn a pair I am glad to say. I did have a Samui t-shirt that last 15 years though