Ours all came in one package (and pretty sure they always have), but I believe I've read that others have had them come in separate envelopes. It may depend on what type of package you booked for your trip???
Ours have always come separately. We actually received our DME stuff ("tickets" and yellow tags) a couple weeks ago -much earlier than usual and we're still waiting on our actual Disney mail with the luggage tags and package details, but we're still about 40 days out.