Yes it is (and there are many posts addressing this issue) but why would you want to? Luggage transport is one of the great perks of DME. Attach yellow tags, check luggage (remembering to pack immediate-need items in carry-on, or plan to purchase at destination) and voila! Your luggage magically appears in your room a few hours after it's assigned.
You can bring your luggage to the bus (where the driver will stow it underneath and remove it at your destination, remember a tip is appropriate for anyone who handles your luggage), but you have to detour to baggage claim, wait for your bags to come out, haul them to the DME check-in counter, then to your bus's waiting line, then to the bus... all delaying your arrival at WDW.