Actually, no. If you buy at duty free it is brought to your room the night before you debark. Same with whatever you buy on shore. As for taking alcohol on board, they are cracking down more but if you put some in your check aboard luggage you can get it on. Generally we put some vodka or bourbon in plastic water bottles, wrap in zip lock bags and pack in our checked luggage. We still buy plenty on the ship but it is nice to have a drink while getting ready for dinner, etc. If you are caught (they do xray luggage), the simply confiscate it and return it to you the night before you get off.
Hope this helps.