I am guessing by Disney Direct, you mean the disneyshopping.com site?
I have ordered a few times from there - they charge a LOT for shipping (it arrives via DHL to me in Ontario) PLUS DHL charges more for duty on top of the shipping cost when they deliver it. So unless the items are truly must haves and they are almost free (check the outlet section of the site for deals - and keep checking because they change their prices constantly), on the whole it really isn't worth it.
One thing you could do if you are traveling to WDW, is to order things to be delivered to your resort (time it so it arrives either just before you, or while you are there). You just put the street address for your resort in as the shipping address and (I can't remember how the address is formatted on the disneyshopping site) if there is a second line you can put in your reservation number, even arrival date. The resorts are pretty used to receiving packages for guests.
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