WGT has one golf bag available in 3 different colors for 400 credits. It is in the accessory section of the pro shop. There is absolutely no value in the current bag that they sell. It just looks nice on the tee.
In the past they offered a bag that acted like 4 separate bags in that you could load 4 different sets of clubs and then quickly pick one of the sets for the course you were going to play. Made it convenient to play with a set designed for ctth or "set of the week" matches.
If you simply want to use the new clubs, use the change equipment feature on the main menu page. Then do as WGTChampion directed.