I've done it tons of times and will continue to do so. Here is what you need to do:
1. Call the resort directly to get address - even if you have your confirmation paperwork call and ask them what shipping address to use as confirmation letters sometimes have different addresses (DVC does this as the confirmation letters have the DVC resort office address on them sometimes, and not the delivery address).
2. By calling WDW resort, you have them note that packages are arriving and this goes a long way in ensuring a smooth process as their holding rooms are organized each day based on guest arrival. There are front desk people who are in charge of organizing daily guest packages, and they will work with you to locate your packages if there should be an issue.
3. You will get email shipping tracking notices that will tell you how many packages have beeen shipped, dates and anticipated arrival. Print this off and bring it with you if you don't have your laptop with you.
4. Allow a few weeks for processing, shipping & delivery. Resorts will hold packages.
5. MOST IMPORTANT - Guest name needs to match with ressie, and, put your arrival date on shippng label as this is how resorts organize daily package delivery. Have the packages arrive BEFORE or at most on 1st day of arrival, just in case of problems. This way, you have some time to work with should a problem arise.
The most important thing to remember is that Disneyshopping and WDW does this each and every day - they are used to sending out packages and receiving packages, but, when you do the above-mentioned steps, you have gone a long way in making for a very smooth process.
The above problems by the other posters would have been averted had people done their homework BEFORE shipping the packages. When you call the resort directly to clarify shipping address, they will also tell you how their mailroom is set up in cases of shared rooms like Port Orleans, how long they can hold packages for, etc. and this information is important as it will help you determine what days to order your packages, amongst other things. If there is a glitch at the resort, no worries at it is their job to sort through the mess. It's Disney after all, and they will go above and beyond to make sure that everything is handled correctly, as long as you do your job in allowing enough time for delivery, proper address label, guest name (make sure it's the exact same name as on ressie), etc.
Happy shopping and happy shipping, Tiger