Yes it is an accepted practice. We have taken wine onto both Princess and Celebrity without a problem. You can take your own wine to the Dining Room but they will add a corkage fee to your charges. We just got back from the Star Princess and the corkage fee was $10.00. The message here is that if you are going to take your own wine to the dining room, make sure that it is good wine to make the corkage fee worthwhile.
We enjoyed taking on different bottles we found in the ports cruising the Med on the Windsurf. Even the wine stewart looked forward to our letting him sample our "finds" and of course we were happy to oblige the corkage fee. We even brought aboard an extra bottle to present to the Head waiter as part of his tip. You would have thought someone handed him a pot of gold with that big smile of his!
However, things are very different with NCL, as apparently no how/no way for any reason can we bring on even a special bottle to celebrate our anniversary.
What a shame or is that sham?
I was on the NCL Dream in the Med in 11/01. We brought several bottles of local wines (France, Italy) that we bought in port to dinner and had no problems. We did make friends with the wine stewart in our favorite restaurant before we did though. Maybe there is a difference in policy based on the ship or the staff.