The first time you tried what, exactly? I didn't catch your meaning.

You don't actually have to use a double opt-in process for paying customers. Only for a mailing list of non-customers. For customers you can use a shopping cart, or the Aweber integration, to loop them straight into your customer database so that you can follow-up with them properly regarding their purchase.

Merchants often use the double opt-in process anyway, for good measure. I do on several of my downloads, and I insert the request after the payment on a page that says "thank you for your payment. how may I deliver your product?"

That's not withholding their product, it's serving my market. After they let me know which address they prefer to receive the product, I email them the download link and they are also taken to the download page. This helps A LOT as people often accidentally close the window and then have to email and request the link again. When they get it by email, they can return to it at anytime. I've had ZERO complaints with that method, and a lot less customer service issues.

It also gives them a way to immediately contact me, as they can reply to the email with questions or feedback.