The excellent part about Magical Express is as soon as you check in your luggage at your departure city that is the last time you will see it until Disney brings it to your room. By putting on the yellow Magical Express tags on your luggage before departure, you have indicated that you want Disney to pick it up in Orlando and bring it to your room.
I have had experiences where it took 3-7 hours to get my luggage so I always pack what I need that day in my carry on. If you are flying between 5a and 10p (hours might be a little different) then you can use this service.
If you would rather claim your luggage yourself, then simply do not use the yellow tags and claim it at the airport. Then bring it with you to the Magical Express and they will load it.
I hope this helps!
