We've done it both ways: having the resorts transfer luggage and taking luggage over ourselves by taxi. I actually prefer the taxi....sometimes the resort transfer took ALL day long--like 5 to 6 pm. You can store your luggage at bell services and even have access to it during the day if you need anything out like swimsuits. And this works better if you are transferring cold foods from one resort's fridge to another. They will place those items in cold storage.
And if we happen to be on the dining plan at the second resort, I like to get to that resort first thing in the morning to check in so that our dining credits will begin immediately....even if we can't get into the room that early.