Unfortunately, the person gave you the wrong info. Disney's Magical Express(DME or ME on these boards) will pick you and your carry ons up at the ME welcome center at the airport and take you to your HOTEL, not to a park. You can and should check in at your hotel when you arrive, if your room is not ready the desk can have your carry ons stored for you with bell services, if your room is ready, then you can just drop the bags in the room.
As for your checked bags, they are the only ones that need the yellow DME tags, do not put the yellow tags on your carryons. When you check your bags at your home airport, with the yellow DME tags, you will not see them again until they are delivered to your room. Bags with yellow tags are pulled by DME employees before the reach the baggage claim area at MCO. Once the bags are pulled they are scanned(the yellow tag) and put in cages then trucks to the proper resort. Your bags should be in your room 3 hours after you check in at the hotel. You do not need to be in the room for DME to deliver your bags, but if you stored anything at check in you will need to call for it to be brought up(you will need to be in the room for that).