When I went it was with a tour group on a 2-week trip; the tour operator arranged for our large bags to be left with our hotel in Cuzco for the few days spent in Sacred Valley and AQ before we returning to the hotel. We were only permitted to bring a rollaboard and backpack on the train. SuperDudlely's observations are spot on.

So, if your itinerary allows, you might ask your hotel before getting to the train if they will hold your luggage for a few days.