How about we skip the question for now and go directly to the more interesting issue of what we get by developing khudi (whatever this mysterious thing may be)?
In the simplest words, Iqbal says that by developing it you gain control over the visible and invisible forces of the universe. Example: a qalandar (a Sufi of a special order) got upset with the governor of his province and wrote to the king, “Transfer this governor or I shall get you transferred.” The king trembled upon receiving the message and followed the instruction.
Iqbal mentions this incident as an example of what the “learners” can get from his teachings. Do you want to have the kind of power this qalandar had in this story? Iqbal says that he can teach it.
This is how I summarize ‘Secrets of the Self’ (‘Asrar-i-Khudi’), the first part of the book Secrets and Mysteries (Asrar-o-Rumooz). In the second part of the same book, I find Iqbal telling us how each one of us can develop this kind of power. Anybody interested?