We have done it both ways on different trips., picking up our luggage and letting them pick it up and deliver to room....When we picked it up, it was placed in the bus storage, then placed with the bell hops at the hotel, since our room was not ready.. When they pick it up, it is magically delivered to the room went it arrives to the resort. I will suggest properly packing a carry on with any items you would be needing for at least 3 hours after you have arrived at your resort, if you are planning on letting them pick up and deliver... items such as medication, extra clothing if needed and swimsuits, if your planning on swimming when you get to your room.
I will say on one trip, we did have one problem with them picking up and delivering to our room.. for some reason, our bags were not delivered to our room until 9 pm, (our flight came in around noon)... and we were waiting for it to put the kids to bed, (our youngest was still wearing night time diapers, and had to wait for the bag)..... but that was an isolated experience, and only happened once.