We recently travelled from Ancona to Split and I have a few tips that may be of use to future travellers.
There is left luggage at Ancona train station, there are no signs but it's inside where the toilets are so follow signs there. €3 for the first 12 hours, paid in advance, per bag. We had no problems.
Bus no. 12 takes you from the train station direct to the ferry terminal where you need to check in (all the ferry lines were there). Bus tickets are €1.40. Then there is a free bus, no. 20 that takes you down to the docks to actually board the ferries.