I was at the market and show in Houston last fall, and saw a near-accident with someone using a rolling bag. It is just too crowded for people to be able to look down constantly to make sure the way is clear. It has been a couple years since I was last in Paducah, but at that time they did have a place where you could "check" bags so as not to have to carry heavy things all day.
Also, the shuttle buses are great. You do not need to worry about driving close to the show. The buses head all over town