They seem to get in the way. I love the gym bags with the strings that you wear like a backpack. They're nylon so the're light & can hold everything, including a rolled up jacket, if needed. Don't forget the water bottle!
I would be careful with the clear plastic coin purses that you can purchase at Disney. My son bought one from the Pop gift shop the day we left, and before we were even home, the plastic had torn and it fell off his lanyard. Fortunately, he only lost it in our own van and was able to find it again when we unloaded all our bags at home.
My kids all got new lanyards with canvas coin purses (can be purchased inexpensively on ebay) in their stockings this year for our upcoming trip. These seem a lot more durable.