You will check in at the villas. The only exception is if you arrive after 10PM. In that case you can check in at the main lobby.
If you do on-line checkin, you will get a text when your room is ready along with your room number. In that case, you can go straight to your room and enter with your Magic Band. But I usually stop by the cast members in the lobby and check in, because I usually have a couple of questions and we usually get there before the room is ready.
There will be a greeter curbside at the villas. He can call Bell Services if you need help with bags or if you need to store your bags until your room is ready.
If you arrive on Disney Magic Express, the bus will drop you off outside the main lobby, but your bags will be delivered to your room.