As
@Tom said...magic bands are integrated with Magical Express. You no longer need paper tickets for ME upon arrival. However, you may still need them upon departure! Though, I suspect that system will be updated sooner than later, if it hasn't already been updated.
Your bags are tied to the resort if you use the yellow luggage tags that will come in your Mickey Mail. If you do this, they'll be routed to your resort automatically when they reach MCO.
If you have any carry on bags or gate check, those are your responsibility, and there really is no feasible way to make that work.
Also,
@cw1982, you can book your flights through Disney Travel...they just don't always get you the best rates.