Most cruise lines forbid this as they like to sell you drinks at the bars for whatever they want to charge. Some lines do, however, allow you to purchase a bar set-up for you room. Just contact their passenger service rep.
That being said, smuggling does happen. If you opt for this, just keep in mind that all bags are x-rayed and if anything looks remotely like a liquor bottle your bag will be flagged for an up close and personal inspection. If liquor is found, they generally hold it for you and return it before debarkation. Most lines do have verbage in their agreement that they could deny boarding if they find liquor in your baggage, but I've never heard of them actually doing that. They do, after all, want you on board so you will spend $$$$.
Let you conscience be your guide.