You can purchase wine for your stateroom through room service (about $40+ per bottle). You can also purchase a wine package for dinner (cheaper than per bottle) and once purchased you can always take an unfinished bottle back to your cabin or even request one of the bottles at dinner and take it back to your cabin with you. I have done that on numerous occassions.
Of course, I have also brought a couple of bottles in my luggage for room consumpton and never had a problem. Besides, if it is confiscated - the worse that can happen is that you can request it at dinner and you will be charged a corkage fee or it will be returned to you at the end of the cruise.