We go one step further -- we always use DME transportation, but never use luggage transfer. (I do keep the yellow tags with me, just in case we're ever forced to gate-check something because the overhead bins are full, but it's never happened yet.) We travel carryon-only (a week's clothing and sundries in a single 21" rollaboard per person, with room to spare -- it can be done!). No need to pay to check bags, or to spend any time at the airport getting them tagged and on their way, and no worries about them or their contents getting damaged or lost at any point.
(For the record, I've never heard anything about Disney's ME luggage transfer that would make me nervous about using it -- it seems to have a pretty superlative record -- but because of some terrible experiences with airline luggage handlers in the past, and because we've mastered the art of packing light so we don't feel like overburdened mules while moving through the airport, we actually feel more relaxed during our travels if we keep our bags with us.)