The Costcos that serve Tokyo metro are in outlying areas. The ones closest to Tokyo Yamanote loop are in Kawasaki and Chiba, with few more scattered further out. In Kansai, there's one in Amagasaki, Kobe and Yawata.

I have been to the Saitama warehouse at Shinmisato. Nice and new warehouse with many interesting local products, but quite a hike from Tokyo proper. The bag I brought was almost too small for the goods I purchased, but there is a shipping counter in the warehouse after the checkout to ship your purchases home. I really enjoyed the Japan-only paella from the hot foods section.

Costco Locations: http://www.costco.co.jp/p/locations?lang=en