Sandra - where are you staying. If it is at Pier 66, there is a liquor store across the street from the hotel.
There is a Duty Free Shop at the Pier and I am sure they do have wine, but probably not a lot of choices.
Yes, HAL does allow you to bring liquor on board the ship. If you plan on taking it to the dining room for dinner, they may charge you a corkage fee as it was not bought on the ship, but then again they may look the other way.