You have several choices here. You can use the yellow luggage tags that will come in your info packet. Each person on the reservation will get two tags. If you put these tags on your checked luggage, DME will take care of delivering them to the resort.
Other option is to not use the yellow tags in the packet. Then, you would just head to baggage claim area, grab your bags and take them, with you, to the DME checkin area. The bags will go underneath the bus you are riding on and arrive, with you, at your resort for checkin.
Now....the problem with using the yellow tags late at night is this.....service seems to be a bit slower since there aren't as many people working late at night (at least that's the explanation I've heard), so, your bags could take awhile longer to get to the truck that goes to the different resorts. It is completely seperate from the bus you'll be on. So, you just can't tell when those bags will reach your resort. If you arrive at MCO at around, say, 11:00 pm, you would most likely get to your resort by 12:15ish. Your bags, however, may not get there until around 3:00 or so. You can have the bags held until the morning but I like to have my things there with me, rather than wait for them. Normally, during the day, that bags seem to be getting to the resorts up to 2.5-3 hrs. after being taken off the plane.
So, if you want your things with you when you get to your resort, and don't want to worry about not having the bags until the morning, I would leave those tags off the bags and grab them yourself when you get to MCO. It will add about 20 minutes to your time in MCO. Others will feel differently than me though. They have no issue waiting for their bags. Hope this helped you rather than confused you even more.