Yes, you will have to carry your bags to the bus area. If you are not using one of the participating airlines (which I'm assuming you aren't) you will then have the driver put your bags underneath the bus. When you get to the airport, he will get the bags out and you will head off to check them as you would if you had driven a car.
I have never called the day before to confirm. They have put a return notice on my door(or under it) the day before, letting me know what time to be at the bus....usually about 2 hrs. 45 mins. before the flight.