You put the DME tags on your checked luggage. It goes through your airline's system like normal, from hom airport to MCO. AT MCO, before the luggage gets put out to the public on the baggage claim carousels, there are employees of a Disney subcontractor who specifically look for DME-taged bags, and then pull said bags out of the luggage stream. These bags get the DME-tag barcode scanned, and then the bags are placed on trucks, and will be delivered to your resort. Once at your resort, the bags will be delivered by your resort's Bell Services CMs. As you probably know, you don't need to sit in your room and wait for your bags to be delivered. The "magical" part of Disney's Magical Express is that the bags will be left for you inside your room if you're not there. Disney pre-tips their employees to make up for the fact that they won't get a tip for delivering luggage to an empty room.
When you get to your DME bus, you CAN put carry-ons under the bus if you want, and you may have to do so if the carry-on is too big to fit under your seat or on the overhead shelf. All bags that are put under the bus are unloaded by the driver at your resort, and they immediately go back to your control. Thus, you don't need DME tags on your carry-ons because they never get into the DME luggage system. And yes, you should have regular ID tags on your carry-ons -- just in case you leave one somewhere, there's a chance you will be reunited with it!
As to whether or not to remove valuables from your carry-on ... IMHO, if you're nervous about them being in there, keep them on your person to begin with!
