Greg and David,
Jerry is right -- just put it in your checked luggage and you should have no problem (I never have had). And to be honest, I have been known to throw a "water" bottle into my carry-on, too. :-)
In the duty free shop, your liquor purchases are not delivered till the last day of the cruise. You can, however, purchase through room service a bottle ... I think if you search the Princess board archives, someone posted the cost ... just play around with the search words -- maybe liquor + room service.
In port, I have never had a problem bringing liquor back from port ... I just put it in our backpack.