UPDATE - we originally planned on taking our bags off and continuing on the cruise, but upon speaking with the ships Embarkation Officer, we were informed that doing so would be classified as "transportation of goods" and we would be subject to heavy taxation. In addition, we would be required to fully itemize all of the luggage and its contents, applying values to everything so they could calculate the taxes. Instead, we opted to just disembark the cruise early and not complete the last leg. When doing this, our bags were considered personal luggage and were not subject to any taxes. This saved us quite a bit of money and hassle.
This was all arranged with the Embarkation Officer once onboard the ship. I would recommend waiting until you get on the cruise vs. trying to arrange it in advance - in speaking to others, it sounds like there is a lot of pushback given when arranging prior. We had no pushback at all.
The port in question was Funchal, Madeira, Portugal.