The closest Costco is on South Orange Blossom Trail between the Beach Line and the Greeneway.
Take the North exit from the airport for SR-528 (tolls) Westbound and exit at US-17/92/441 (Orange Blossom Trail) Southbound. In about one mile you will cross Central Florida Parkway and pass a Toyota dealer on the right, Costco is immediately after that.
From the Costco it is easiest to continue South on OBT and either take SR-417 (tolls) West/South or continue on OBT until you reach the Osceola Parkway (toll) and turn West to WDW.
Technically the address is 2101 Water Bridge Blvd in Orlando if you want to use MapQuest or similar.