You'll check your bags in at your departure point and won't pick them up until you get to your final destination. You go through customs after you get your bags back. That's how it normally works, if your luggage isn't lost of course.
I don't want to panic anyone but I have a friendly word of advice, pack AT LEAST one change of clothing in your carry-on bag. Our luggage was lost last time we went on a WBTA. I had one change each thankfully but we were without it for 2 days while we were in Barcelona. We had to buy a few things to tide us over but were really sweating it, heading to the port before it was "found". Thank goodness it arrived at the ship before we left for 14 days. It just barely made it, getting to our cabin 30 minutes prior to sail away. I ended up buying a few tops, underwear and toiletries. It was miserable having to go out for that instead of sightseeing. I had a frequent shopper card at the Cort de Ingles that I didn't anticipate having.
Fool me once though, in September, I'm carrying on several changes and all of our underwear along with a separate set of travel-sized toiletries so not to be caught if lightning strikes us a second time. I made my own airline arrangements but informed Disney of the luggage delay the night before we were supposed to leave. I truly believe that Disney helped get our luggage there on time. We did have friends on a different airline that had a similar thing happen. They never got their luggage, the entire trip! We felt terrible for them but they made the best of the situation.