You collect your bags the first time at MCO and you go through customs, you then put the bags back on the belts as normal and then you dont collect them again, the bags are picked up and taken to your hotel rooms for you. You should have special tags for your bags. I think you have to register for this, it is not automatically done. When we went last Novemeber we didnt register and we picked up the bags as normal. Personally I think its not really worth doing, you are only saving yourself picking up the bags the final time and I have heard from other people that it can take up to 6 hours to get your bags to the room, I like to unpack as soon as I get there!