Where can I leave luggage in Wengen

Most of us stay in just one location within that region. Most Swiss trains stations have bag storage (paid, Lauterbrunnen has small lockers and a deposit office ) and most hotels that you're staying in will also hold luggage (free). If you want to bum around without luggage, you could also use the Swiss rail Fast Baggage Service to transfer your luggage for you; check in by 9:00 and collect after 18:00.

As Laura mentioned, the majority of people choose one "home base" location in that area and do all touring from there. Staying one night is inefficient and somewhat of a "pain".

The most central location to both sides of the valley is Lauterbrunnen, as that's the transportation hub and provides easy access to both the Jungfraujoch as well as the Schilthorn. You could absolutely spend your entire time in Mürren, but the trip to the Jungfraujoch would take a bit longer as you'd have to travel first to Lauterbrunnen and then connect with the train to Kleine Scheidegg (the same train goes past Wengen).

If you want to stay on both sides of the valley, go for it; I think it wastes time and detracts from enjoying the area. Checking out, leaving luggage, getting across, finding the new place, checking in and unpacking again is just such a faff.

My preference would be to spend the whole time in Muerren. From there you can look across the valley and down (Wengen is quite a bit lower) on Wengen, and over to the 3 mountains (and their many other friends). The view from Muerren is wonderful.

I have a related question: are the luggage store lockers in the Lauterbraunnen train station big enough for a carry on piece of luggage? We may be hiking in the lower areas before going up to Gimmelwald for our hotel stay.

The lockers in the Lauterbrunnen station are definitely large enough for carry-on size luggage---we stored some of our there while doing a "roots" daytrip to a town near Thun. The problem is that there are not many, and they may be full. We found only one available for our luggage. So we had to take some of our bags to Interlaken and stash them there.

The lockers are 10" wide by 16" High and 30" deep and there are only 12 of them, (from SBB site)
However, as Laura mentioned, there is a luggage storage service.
http://www.sbb.ch/en/station-services/am-bahnhof/railway-stations/bahnhof-finden.posid.7384.html

Thank you everyone for your input. I should say I'm traveling by myself and don't plan on having a lot of luggage but don't want to carry a backpack. I couldn't decide between staying at either Murren or Wengen so I thought I could stay at Wengen one night and go up the Jungfrau while on that side.

Would you say it's more of a bother to stay in separate hotels than to travel from Murren to Lauterbrunnen and on up the Jungfrau?

I like the idea of using the Swiss Connections Fast Baggage.

Yes it's a bother packing up just to head from Wengen to Murren. We go to Murren every year with a school group and we do the Jungfrau every year (starting in Murren). It's not that big of deal to just stay in one place and travel from there. We love Murren the absolute best of all the alpine villages, but rest assured wherever you choose in these places will be mind boggling beautiful and there isn't a "wrong" decision.