From the southwest website
# Southwest Airlines limits carryon bag dimensions to 10x16x24 inches.
....
# Baggage Allowance: Beginning January 29, 2008, Southwest will allow two (2) checked pieces of baggage per ticketed Customer. Size and weight limitations apply.
# Excess Baggage: Effective January 29, 2008, you may check a third bag for a charge of $25. Your 4th through 9th bag or item will incur a charge of $50 per piece, and any bag or item thereafter will be $110 per piece.
From my experience traveling:
In my travels with southwest I remember reading that the 2nd piece of carry on luggage was free up to 50 lbs (or if golf clubs).