For my own part, I considered, on several separate occasions, spending my first night in a cheap hotel as close as possible to the train station, then catching a cab to WDW first thing in the morning. (Or in the case of a Saturday night arrival, getting off the train in Winter Park, and spending the first night in a hotel convenient to St. Richard's, then going to WDW that afternoon). I decided to stick with going directly to WDW this last trip, though, and if I were to repeat last November's itinerary, and the transfer were quicker (I think I was either the last, or second-to-last dropoff), I'd probably catch a bus directly to PI as soon as I was checked in, and unwind for an hour or so in the Adventurers Club.
I never got as far as researching whether there even were any cheap hotels near the Orlando or Winter Park train stations. As it turns out, though, there are a number of hotels near the Orlando station (not many cheap ones, and especially not within a distance I'd want to walk in an unfamiliar town at night, in a suit, dragging luggage, but one whose rates supposedly start at $90), as well as a Travelodge in Winter Park, a short cab ride from the station and within walking distance of St. Richard's, that I'd probably use for a Saturday night arrival, if I could find a cost-effective way to get myself and my bags from Winter Park to WDW. Somehow, I suspect that a 20+ mile cab ride would be a bit pricey.