I love DME and the luggage transfer perk. But if I were arriving in the evening, after 6pm, I would be very tempted to leave my bags untagged and get them myself. I hate having to wait until later in the evening to unpack stuff.
So, it's up to you. If you land ontime, you won't be off the plane until just before 9...which means you won't be at OKW until 10:15 at the earliest. And luggage gets to the resort up to 3 hrs after you checkin.
My only concern is what airline you arrive on. If you arrive on Side A of MCO, and you decide to get your own bags, you have to leave the gate area, take the tram over to the main terminal (everyone has to do this...no different for any airline), go down to level 2, baggage claim, Side A. Get your bags, go back up to level 3 (where you originally arrived), cross the terminal to Side B (not a huge walk...about a min or two), and then go down to level 1, ground transport, to get to DME. If you arrive on Side B, it's much easier. Tram to maiin terminal, over to Side B, down a level, get the bags, continue down to level 1.