It's perfectly acceptable to bring wine onboard. If you want to consume it in the dining room they will charge you a corkage fee. You can freely consume it in your cabin.
Liquor is a different matter. If they discover you trying to bring it onboard, they'll confiscate it, and return it at the end of the cruise. Many people unfortunately do "smuggle" their own liquor onboard in their checked luggage.
If you do so, please just ONLY consume it in your cabin!!!
The cruise lines used to allow liquor for in cabin consumption to be brought onboard. However, too many people took advantage of the situation, and brought their own drinks into the ship's public areas (really tacky IMHO), so the cruise lines tightened their policies.
We sailed on empress of the seas this summer. We brought 3 bottles of our favorite (reasonably priced) wine. On 3 night we brought them to the dining room. Our waiter opened and iced them and served them to us and never charged us an uncorking fee. We carried the wine in our carry on luggage. We put some soda cans and waters in a soft sided rolling cooler. I put a luggage tag on the cooler and sent it through with our checked luggage. It was delivered to our cabin with our suitcases. no problem. You have to be a little sneaky with alcohol but a nice rum & coke in your cabin can be very nice.
We brought three bottle of wine in our checked luggage (wrapped in bubble wrap and a zip lock bag) and a corkscrew. We had our luggage checked at the airport, since we had one way tickets each way and nothing was removed. The wine arrived intact in our luggage when it arrived at our cabin, and we left the partically opened bottles out in plain view the entire cruise and nothing happened. We didn't try taking it to the dining rooms though and only drank it in the cabin. Just be careful of the weight it adds to your luggage - we had to rearrange at the airport because one suitcase was over the limit due to the bottles.