Before September 11, it was generally no problem to bring your own alcohol aboard if you were discreet about it, even though the rules of all lines (as far as I know) technically prohibit it.
Whether enforcement will become more stringent as overall security is increased is anybody's guess. The worst thing that can happen is that you'll lose a bottle of booze.
It's also true that the onboard liquor stores on Celebrity have been known to be fairly liberal in letting you return to your room with your purchases instead of putting it in bond, and their prices are generally very good.
We bought wine and booze at the duty free store in San Juan (on Infinity) after we'd already boarded, brought it back on with NO problem -- in plain sight of the boarding people. Kept it in our room in plain view of the steward. Brought wine to dinner, paid the $6 corkage fee -- still cheaper than buying theirs.
we were on the Century and bought at the duty free store on the pier in Ft. Lauderdale. We went down 20 minutes before boarding and it was there to bring it to our room. Not a problem. Even in Grand Cayman, we bought and carried it on with us. they looked through our bags and saw it but said go ahead.