Yes, if you are using Magical Express to transport yourselves to the resort, you should use the tags and allow Magical Express to transport your luggage as well.
Average passenger time from deplaning to debarking is about seventy minutes. This includes getting through the airport, waiting in line (if one exists) for DME, checking in, boarding the bus, and riding to Disney. Pop is usually, but not always, the first stop on its bus.
ALWAYS ALWAYS ALWAYS ALWAYS ALWAYS pack your carry-on luggage with whatever items you will need for the first 24 hours of your trip... said the woman whose luggage went from BOS-JFK-LGB-LAS, the day AFTER she flew nonstop from Boston to Las Vegas. While DME-handled luggage should arrive in your room within three hours after you check in at the resort, they can't do that with luggage the airline misdirected or neglected to put on the plane. Of course, another little-known benefit of Magical Express that, if this does happen, they will take responsibility for tracking, locating, and delivering your luggage when it does get to MCO.