I've done that once so far. You can just let them know at checkin that you will want to use DME for your return to the airport. If you are flying on a 'participating' airline, you will be able to check your luggage through to the airport right at the resort, and get your boarding passes. Then you can just head right to security when you get to MCO.
If you are not flying on one of those airlines, just take your bags with you to the bus. The bags will be stowed underneath the bus, and off you go. It's all very easy.