You do need to add DME to your reservation, and to add your flight info to that reservation. They need your departing flight info to know when to schedule your pick up the day you return to the airport. You should be able to go to "retrieve resort reservation online" and then add it there.
As far as SWA participating, they are included in arrivals (ALL airlines arriving at MCO are). In other words, as long as your flight arrives at MCO BEFORE 10pm, put the yellow luggage tag on your luggage, check your luggage at your home airport and you'll see it in your hotel room. Skip baggage claim and go straight to the DME check in area. IF you're arriving after 10pm, skip the luggage tag step, go to baggage claim, get your luggage, and then go get on the bus.
When you leave, you will need to take your luggage to the bus. The driver will load it under the bus, and when you arrive at the airport, the driver will pull your luggage out, you'll go to the ticket counter or curbside, check your luggage and then go to the gate.
However, if you're staying at a value resort, as it stands now (probably subject to change at any time), on the day you leave you can check your luggage at the resort, as long as your flight leaves after about 8:30am.