I've used DME twice now...once in June flying Song and again in August flying SW. All went quite smoothly both times. My only issue with flying SW and using DME is for the return flight. I really enjoy the perk of being able to 'check-in' with my airline early in the morning, get my boarding pass and get rid of my luggage. When I do that, my luggage goes directly to the airport and I don't see it again until I get to my home airport. When flying SW, and a lot of other 'non-participating' airlines, you can't do that. You have to leave your bags with Bell Services in the morning and then about 30 minutes before you are due to board the bus, you go back to BS and collect your luggage. It then goes under the bus, with you (you are on the bus, not under it!!). THen you get to MCO and you take your own luggage, just like you would any other time, and get it checked and such.
But as for 'worrying' about using DME with SW, I wouldn't give it another thought. It's a piece of cake. I agree with Eric completely on this....it is a terrific perk to not have to go claim your luggage and drag it to the resort with you. Just be sure to pack a carryon bag with anything you might need if you can't get into your room right away. WE always pack clean undies, a swim suit, sun lotion and books. That way we can swim while waiting and be comfy.