Well, your bags (and you) go through customes no matter who takes them from your room. You CAN take your bags with you from your room the morning we disembark, but you'll have to schlep them with you to breakfast and find a place for them in the restaurant out of the way.
DCL will pick them up from your room the night before (you have to have them outside your door by 11PM) and you can collect them at the terminal, before going through customs. You will find tags in your stateroom the night before that will go on your luggage and let you know which section (Donald, Mickey) you stuff will be in when you get down to the terminal. It's very organized. Folks say disembarking on DCL is the most organized of any of the cruise lines.
It's pretty painless to do it that way, though that Friday at
Castaway Cay and final dinner and show, it gets pretty hectic to get your luggage packed and out (especially if you want to hit Pub Night in the adult club that night

). So take some time on Thursday (sea day) to get some of your stuff packed up or at least organized. DON'T FORGET to leave out your clothes for the next morning! You will have access to your luggage to rearrange anything you like (for example, I have to put my lotions and potions into my checked bags instead of my carryon when going straight to the airport).
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