We have had to clear customs in Orlando before when coming from Canada, and we took Magical Express when we did so. Here is the process:
You will be given the blue US Customs declaration form at the airport or on the plane to fill out. When you arrive in Orlando, you will immediately clear US Customs and Immigration when you get off the plane. This requires you to collect your baggage from the carousel within the Customs area. The yellow tags don't matter at this point because Disney will not take your bags directly off the plane if you have to clear customs.
Immediately after clearing Customs, you will recheck your bags on the carousel outside. The reason for this is that all arrivals take place at an airside terminal that is separated from the landside terminal by a train. That train is shared by people who have already cleared security, so you are not permitted to have your checked bags on it.
After you re-check your bags, you will then re-clear security to enter the secure area and take the train landside. This includes not having liquids over the size limit. So, if you have a bottle of water that you bought in Moncton or you have duty free, make sure you pack it in your checked bag while you are in US Customs and before you re-check your bag.
After taking the train to the landside terminal, you will then proceed to a carousel to claim your checked bags again. You can then take your bags to DME for loading on the bus. Or, as I understand it, if you have the yellow tags on at this point, Disney will be there to collect your bags at the landside point and you can skip the "second" bag claim. We decided to wait and not use the yellow tags, since it only added a few minutes to our wait and we didn't have to wait the 4 hours for DME to deliver.