You have a couple of options.
You could pay for Disney Express, which means your luggage is taken for you to the DLH (I believe the cost of this is currently £15 per adult in your party, no charge for children).
Or, you could take the long way from the train station to your hotel - right around the station, over the bridge, and walk the whole driveway to the entrance of the DLH.
That is a very long way round though, compared to literally 5 minutes (including stopping at security check at the entrance to the parks) that it takes from the station to the side entrance of the DLH.