You will need to get your bags at bring them on the bus with you. I believe the cut off is 10pm when they stop transporting the bags.
Copied from the ME stickey:
My plane may arrive late. What are the hours for Disney's Magical Express.
Transportation currently runs 24/7.
Inbound luggage transfer has recently changed. There will be no automatic transfer for luggage between the hours of 10pm and 5am. Folks arriving between these hours will need to claim thier luggage prior to going to the Welcome Center, regardless of if they used the yellow tags.
Denise in MI