It is not a stupid question and one thing I did think about when we were going to the Desert.
The way it works when you get to the edge of the Desert is that you get a hotel (or tour company) to organise your travel into the overnight tents. We were given a room to store all of our luggage in at this hotel, the camels then arrived and we got on, 1½ hours later we were at the camp in the Desert for our overnight stay (we took small rucksacks with us with a few essentials).
In the morning, we were taken back to the hotel, where we were given the keys to the room so we could have a shower and freshen up before having breakfast at the hotel. All of this is included in the price for the overnight experience (camel ride to the Desert, evening meal, overnight in the tent, camel ride back to the hotel in Merzouga, shower, breakfast).