Storage lockers in train stations?

I am not aware there are storage lockers in any train stations. Manned storage rooms perhaps, but that will depend on which large station. Without giving where else you are concerned about I cannot help with storage.
There is no consigna at Toledo station. If this is a day trip from Madrid, use the consigna at Madrid Puerta de Atocha, your departure and return point. You will be able to collect up to, I would think, 2200 hours.
'can luggage be checked through to end of trip when travelling by train?' - No.

Madrid has lockers at Atocha - it's manned, you go in, scan your luggage through a security check, and then use lockers - there's a variety of sizes and any normal suitcase will be fine.

Cordoba has lockers at the bus station - right across the street from the train station, big enough for 2 carry on size bags with room to spare.

Luggage cannot be checked on trains, as far as I know. If the train station doesn't have lockers, look into the bus station or a private business that holds luggage.

http://www.seat61.com/luggage-lockers-at-stations.htm#Left_luggage_offices_&_lockers_in_Spain

Across Europe, high-speed trains don't usually have baggage cars attached, so any luggage that you check in for transport by the railway will go on a different train or truck and not necessarily arrive on the same day. Therefore, the standard is to carry your own luggage onboard. See also:

http://www.ricksteves.com/travel-tips/transportation/trains/on-the-train

http://www.renfe.com/EN/viajeros/info/index.html

Switzerland is an exception, with both fewer high-speed trains and less area to cover, so they do offer same-day service to many stations. Some premium services will deliver to your home instead of just to the station, again with a delay, and Spain's offer says "The delivery time for luggage is generally two days."