I'm going for an interview and want to bring some books, magazines,
and other marketing materials that I've produced to demonstrate my
past work. I just don't know what to bring them all in.
It sounds like you are bringing your portfolio. Depending on the industry, there may be more formalized options for this. Ask them about whether its appropriate, or better, ask "I am planning on bringing a portfolio with examples of my work - do you have a preferred method for me to bring this?"
I don't have a messenger bag or anything like that, and one of the
books is about the size of a textbook. Would it be acceptable to bring
the materials in a simple grocery bag?
Not very. You are interviewing, which means you want to present yourself in the best way possible - having a grocery bag is not even close to this. Buy some cheap messenger bag or laptop bag and use this, for around $20 or less you can both get a functional tool as well as eliminate this problem.
Keep in mind that having a messenger bag (while in the interview) allows easy opportunities to do the following. "This project required me to do X, Y, Z, and in fact, I have a copy of the results in my bag - here is what the final project looked like." This shows you are prepared.
I thought about leaving them in the car and only bringing them out if
they ask to see them, but it doesn't seem like a good idea to make
them wait while I go back to my car to get them.
This is a bad idea for the reasons you say, though, you are more likely to get a response of "oh, they are in your car? don't worry about it" or "let's wait until a break" which probably means the time to display them will have passed.