They may be willing to keep your bags for you at the Amtrak ticket counter; however, I wouldn't definitely count on that. I've had mixed results when I've arrived early for a trip. You may want to give them a call and ask them about whether or not they would. I know there are people at the ticket counter all day, and they do have a baggage room. If they agree to do it, it may cost you a few bucks per bag, or it may be free; again, I've had mixed results with this too. One time it was free, the next time it was three bucks.
Regarding lockers.....there are none that I've seen, other than the ones downstairs by the Science Museum (that Chertling already mentioned). They are downstairs, around a couple of corners, and back near the restrooms. They are also pretty minimal sized; my backpack would fit easily, however, a bag the size of a typical airline carryon would probably be quite a tight fit, if it fit at all. If I had to estimate a size, I would guess about 2 feet high, a foot wide, and maybe a foot deep. But, I may be WAY off; it's been nearly a year since I went on a hunting trip at KCY to find them. I was checking them out for my next trip there. Unfortunately, I can't help you out with the costs, as I didn't actually use them.