You can carry on soft sided coolers - no hard sided coolers. They need to be able to fit through the xray machine and they cannot have any ice. Yes, you can bring beer and wine or whatever else you may like. Since you will be carrying it onboard and will not have access to your stateroom until about 1:30, a rolling cooler will make it easier for you to get around.
I believe they they have signs as you are going through security that alcohol is not allowed; however they do not enforce this and won't stop you so don't worry when you see the sign!
Any beverages need to be in your carry ons - not your checked luggage.
Have fun!
