Let me start by saying that all Warehouse Clubs (Sam's Club, BJ's, Costco, etc.) are different. Some accept coupons, others don't. Some Warehouse Clubs have internal coupons. Some are a lot cheaper on their annual membership fees than others. If you are a member of a Warehouse Club, make sure you research the club and its policies.
You can save a lot of money by shopping at a Warehouse Club if you know the right things to look for and what to buy. Assuming you are not a vegetarian, one major item you will want to purchase at a Warehouse Club is meat. Meat rarely has coupons or sales worth mentioning at regular grocery stores. It is also much cheaper to buy meat in bulk, and I have discovered that the meat is a better quality at my local Warehouse Club. After you get home from the store, make sure that you package the meat into smaller bags immediately and freeze what you will not use in the next two days. It may sound like a pain, but it takes only a few minutes and will save you a lot of money.
Another great buy at Warehouse Clubs is bulk cheese, but this one is a good deal only if your family can eat a large amount before it expires or molds. You cannot freeze cheese, so you will need to figure out if this is a good deal for you or not. The same thing applies to fruits and vegetables. I have found that some fruits and veggies are about the same price as at the grocery store, while others are very cheap. Shop around and know your prices and how much your family consumes to determine if it is a good deal for you. Note: If you have a family member or friend who is willing to go with you and split the bill and groceries in half, you can really save on cheese, fruits, and veggies.