Yes, I have done it from the Dolphin to a WDW Resort and from a WDW Resort to the Dolphin on more than one occasion.
I have had my bags transferred from SST to the Dolphin and from the Dolphin to the ALK twice.
Just call bell services and they will come for the bags, tag them and send them on their way.
Be warned that this can take all day - so don't expect to see your bags until at least check in time, say 4pm and perhaps later.
It is nice to check out - head to a park and then check in and have your bags delivered. Be prepared to tip both bellman