We have flown SW and used DME on several trips, including one in January.
In our case, we claimed our luggage at MCO airport, then walked our way over to the DME desk. (I thought that was the way SW fliers *had* to do it, but from these previous responses it sounds like maybe not.) We were able to load our luggage under the bus and re-claim it at the resort.
Even if SW becomes a "participating airline" I think I might still prefer to handle my luggage this way upon arrival. I don't want to wait 3+ hours to unpack my stuff. I prefer to get settled in right away.