We haven't had to cross any borders yet, but here's what we do for beverages aboard:
First of all I don't like any glass on board, so our wines are in boxes , our spirits are in nalgene or plastic bottles and beer is tinned.
For red wine (which we mostly drink while aboard as refrigeration isn't an issue) we took a neoprene lunch bag similar to this:
and cut at cauterized a hole in one corner.
The bag will hold a 4-litre wine bag easily. We push the spout of the wine bag through the hole we made in the corner and hang the bag from a hand-rail in the cabin. This keeps the wine accessible, easy to pour, and we don't have to deal with the soggy boxes. We call this contraption the 'Wine Tit'. It get's rave reviews when we have guests aboard.
For spirits I got these nalgene water bottles:
I use a green one for scotch, a red one for rum and a blue one for vodka. So far they have worked well: don't leak, don't break. One funny thing was that last year a friend came out with me. He used the same blue bottle for his water. He inadvertently grabbed my vodka and took a swig. Hilarity ensued!
As I said, beer in tins. I usually have Guinness aboard. I can keep it cool easily enough and it tastes better that way. If I'm going on an extended cruise I will have an additional 5-day cooler aboard for meats etc.. Any beer or white wine that needs to be well chilled goes in there.