I would pack nothing of great value (i.e. just clothes) in the bag and if running late, return to the airport after the show or the next day to get the bag. They should hold it in a baggage office if not claimed. The one time I went to LAS the wait for baggage was significant. I've never heard of a service that collects and transfers bags outside of Disney and cruises, perhaps I am wrong.

How about UPS'ing the bag directly to the hotel before you leave?

I think the bigger risk is a likely flight delay in today's environment and getting to the show on-time.

Good luck!