No it does not happen at check in. The first time you use your ticket at a park your finger is scanned. From then on, your finger scan will only work with that particular ticket.
Security is set up before you reach the turnstiles to enter the parks. Any bag or stroller entering the park goes through security. If you want to enter quickly, travel to the parks without any backpacks, fanny packs, etc. Going through security isn't all that bad though.