Where do you check bags in penn station nyc?

Yes there is " NYC luggage storage " at 45 West 46th Street between 5th and 6th avenue - floor 5. same building as Italia restaurant

they are great. The last time I was able to drop off my luggage at 2 am and pick it up at 12.30 am. The receptionnist was very professional and even allowed me to have a cup of coffee in super comfy white lounge area...