We took two bottles of wine, about 2 cases of Diet Coke, and plenty of bottled water on our carry-on on our last cruise (8/8/04-8/15/04). It wasn't red wine, or I'd have had a fit about hubby putting it in our checked luggage on the airline. We didn't purchase the Diet Coke or bottled water until we got into Texas. Since we flew in the day before sailing and had a rental car, we were able to stop at a Sam's Club on the way to Galveston and pick up the soda and water. Then we just packed those in a collapsible ice chest (it looks sort of like a backpack, but with luggage wheels and handle!). The only thing the people in security at Carnival asked about was whether or not there was ice in it (there wasn't at that point).
We asked our room steward to fill it up with ice once we got to our room, and had cold soda and water whenever we wanted it. We took the wine to the dining room; the corking charge isn't that much.