Agree with sls. I just returned from the Caribbean, Western and Eastern, and bought some liquor in Cozumel and St. Thomas. Holland America just ran my bags through the security check and I was on my way to my cabin. No questions, no delivery later, just claimed it on my customs form (whatever I didn't drink onboard!)
It's possible that if you buy a lot of bottles, they will hold it til the end of the cruise, but I usually buy 2 or 3 at a port, drink some onboard, put what's left in plastic Diet Coke bottles and go about my business. I do not ever try to fool the customs people - they know all the ropes!