As was stated, checked baggage is done in the station building. It's usually the same as the line for tickets, although there are exceptions (NY Penn Station has a separate baggage counter).
In general, one doesn't "check in" for Amtrak as one would for an airline. For long distance trains, the passenger meets the conductor on the platform typically, although there might be a check in line at some stations (Seattle for instance). Many trains one just walks onto the train and waits for a conductor to scan tickets or even sell onboard. For sleeper, there may or may not be a line. Every station is different. I've seen stations where they bring out barriers and clipboards, and others where it's more random.
What's important is that there's a supposed requirement that baggage be checked in at least 45 minutes before scheduled departure, although there may be some flexibility. When I was taking the CS from Seattle, there was a last call message for baggage about 12 minutes before scheduled departure.