there have been many many posts on how to smuggle liquor on board. Most of us here do not condone it, since it is against cruise line policy.
You can buy liquor from room service on some lines - Princess for example. Quite a few lines allow you bring aboard wine and champagne.
You can send yourself a bon-voyage gift of liquor to your cabin on most lines.
The price for a good quality drink is NO MORE than you would pay at home at a nice restaurant or bar