Arriving late at the airport is the only time I would suggest grabbing your own luggage. If you are arriving at 8:20 pm, then you won't be getting to the resort until 9:30 at the earliest. And then your bags could take another few hours to get to your room. Not a big deal if it's 11 in the morning but later at night I just wouldn't want to worry about when my bags would arrive. So, pick them up at baggage claim and just take them to the bus with you. Shouldn't be a problem at all.
As to the luggage tags.....yes, put those yellow stickie tags on all your checked luggage and then check them as usual at your home airport. Then, when you get to MCO, go to the DME check-in desk, get your voucher stamped, go to the buses, hop on and go to your resort and get checked in. Once you are able to get into your room, your bags should follow..hopefully in a decent amount of time. I think a lot depends on when you get into your room. If you check in at say, 11 am, and your room is ready, you may find yourself waiting for your bags to arrive. But, if you check-in at 11 and your room isn't ready until 3ish, then your bags should arrive in your room at about the same time you do. It takes them longer to get the bags sorted out at the airport,onto the correct truck, delivered to the particular resorts, then it does for you to get to the resort.