Some lines (e.g. Carnival) will let you off the ship first thing if you take your luggage off of the ship yourself.
It is always a good idea to read the cruise lines responsibility for your bag should it get lost. It usually is minimal, if you can get them to accept any responsibility (e.g. you may have to prove they had possession of it) It can easily be picked up by other passengers during the night. Just a thought as to why some folks wheel their own luggage off.