It's true, but corkage fees are stiff (and rising rapidly at some lines), the logistics are cumbersome (heavy, fragile, etc.), and although we like wine too, there's plenty of it onboard at what amounts to restaurant prices. We like to travel light, and have had no trouble finding pleasant ways to eat and drink aboard any ship we've ever been on.
Just seems like coals to Newcastle.
But, yes, you can certainly do it.