Like I said earlier, we didn't get any luggage tags or ME tags at all in the mail before we left but still had a great time using the service. There was barely any wait anywhere... and when we got to OKW, we went straight to a park so waiting for our luggage to appear wasn't a problem.
As for what tone.def said, on the way back, you bring your own luggage on the bus... you have it in your sight (or under the bus) the whole time. Then, you have to check it on your own when you check in with your airline carrier. All very easy. Not a security issue at all. As far as I knew, ME doesn't take your luggage and check it in for you on a return trip...