Apparently no coin lockers since 9/11. Found this on the internet tubes.
There are no lockers but if you have taken the train into NYC on Amtrak with a valid Amtrak ticket. Once you get off the train there are signs pointing to the area (near track 5?), you present your Amtrak ticket and give your name to the porters there. They give you a claim slip, you must return by the end of the day.
Also there is a new luggage storage place in Midtown Shawrtz Travel, they will store your luggage for up to 24 hours for $6-10 depending on the size. They are located at 355 W 36th Street. Here's their website:
http://www.schwartztravel.com/