We use Southwest too. When you arrive in Orlando, you DO NOT have to pick up your bags. You can just get on the ME bus and go to your resort and your bags will be delivered.
Coming home is a different story. You can still use ME, but you have to take your bags on the bus with you and then transport them from the bus when you get to the airport. In November, after we checked out, we had CSR hold our bags and then retrieved them when we were ready to board the ME bus to go to the airport.