Yes, I've done this before. When you book through Costco you'll get both a costco confirmation number AND an Alamo confirmation number. You can use the Alamo confirmation number at the Alamo website to complete the online check in and skip the counter.
It is easy, you just use the Alamo confirmation on the Alamo website. I usually would wait until a few days before, because I was always checking for a rate drop. Once that seemed unlikely, I would do it.