You do not need to check in bags like you would on a train. You don't pay any fees for luggage as long as you can fit it. And there is no assistance with luggage - you have to carry it yourself. General guideline is that each passenger can bring luggage up to roughly 32 kg and within about 1.5 m total dimensions without issue.
There are overhead racks for smaller bags, such as backpacks or smaller cabin size suitcases. There are large baggage racks at the end of each car by the entry/exit doors. Luggage racks are not supervised, so you are responsible for keeping an eye on it yourself. Don't leave any valuables or passports in unsupervised luggage.
If you have advertised items (bikes, surfboards, etc), you may need to make special arrangements at the train station. Arrive 1.5 hours earlier and talk to station representatives about it.