The key question is how big and how heavy are the bags. If a bag exceeds 50 pounds in weight or 62 inches in size (outside length plus height plus width) you will be charged an oversize bag fee of $75. You can substitute two equipment bags for one of your normal checked bags according to the sports equipment policy. This appears to say you could have two hockey bags and a regular suitcase and all would be free if not oversized.
Here's Southwest's policy for hockey equipment:
Any of the items listed below may be checked in substitution of one piece of the free Checked Baggage allowance for each Passenger at no charge on a one-item-for-one-bag basis. If the item of sporting equipment exceeds 50 pounds in weight or 62 inches in size (outside length plus height plus width), excess weight and size charges may apply
Hockeyand/or lacrosse stick(s) as long as multiple sticks are either taped together or encased in a suitable bag or container. Two hockey sticks and/or lacrosse sticks taped together and one hockey or lacrosse equipment bag generally consisting of pads, helmets, pants, jersey, gloves, and skates. When substituting hockey and/or lacrosse equipment for a free checked bag, Southwest Airlines allows up to two bags (containing hockey sticks and/or lacrosse sticks and one hockey or lacrosse equipment bag) to count as one item, even if they are taped or packed separately.
Did this or any other comment in the thread answer your question? Please take a moment and click the "Accept as Solution" button on the comments you found most helpful, this will be a big help to any future Community Members who have a similar question!