We flew WestJet to Orlando in November -- Ottawa to Toronto to MCO. WestJet is our preferred airline to travel on.
Board plane in Ottawa as a normal domestic Canada flight. Off the plane in Toronto, follow the signs to a special area to claim/pickup our checked baggage. Follow signs again to get inserted into existing line for US Customs pre-clearance. Offload checked baggage, then clear security (this is important, because you can't have picked up prohibited things, like a bottle of water, before this point -- keep that in mind for buying things for on board the first flight) and then clear US Customs [or it could be customs then security, sorry forget the order there -- but you clear both!!!). Then enter Pearson's transborder area and go to gate and wait for flight to Orlando. When the plane lands in Orlando it is as if it is a domestic US flight since you have already cleared US Customs in Toronto.
Note that this process is a bit different than Air Canada's process through Pearson. When we traveled AC YOW>YYZ>DFW in the fall we did not actually have to physically claim our bags, they were transferred for us and the US Customs agent was able to pull up a picture of our checked bags and verify they were ours and that all of them were there.
If your return trip is through Pearson you will clear Canada Customs in Pearson. When you deplane you will go to the Customs hall area and clear Canada Customs; then you move into an area with baggage carousels and claim your checked bags, then you get in a rather long and disorganized line to exit the Customs area, handing off the paperwork to a final Customs officer before leaving into the main airport with your bags. Of course this assumes you do not have to pay the cashier any duties or taxes, and that you do not get selected for secondary inspection. Once out of customs you follow the signs to transfer to your domestic flight, depositing your checked bags in the designated area, clearing security, and then into the domestic terminal to go to the gate for your final leg home. This applies no matter which airline.
The Pearson Airport website actually has excellent guides explaining all of this, including what signs to follow, etc:
http://www.torontopearson.com/Connecting.aspx#
Bottom line:
You clear US Customs in Toronto.
You also clear security in Toronto.
-SW