We've only moved resorts once and it was because I won a free night at a certain level hotel so we stayed their our last night of the trip. Disney will move your bags for you to your new hotel so you don't have to worry about that! We didn't make use of that and found it a wee bit inconvenient. My DH definitely prefers to settle in somewhere and stay there!
We usually check-out early and head over to the new resort early, simply because that is our preference in starting the day. However, you can give your bags to Disney at the first hotel and they will move them to the second hotel for you. Sometimes we use our resort change day as our down day. That way, we can check-out and check back-in at our leisure. Our goal is to eventually stay at every resort at least once, so we see changing resorts as a fun adventure!
I see! I'm one of those settle in and stay put people, but I like the idea of one day somewhere new!