Yes...on our Jan31 Wonder sailing we brought wine, coolers and beer for our cabin. I had read several postings on this board that it was ok to do so...which surprised me since I thought they would really discourage this so they could sell you their alchohol.
We did a combination of checked/carry on depending on the package type....beer cans went checked and glass bottles went carry on.....note: either way, make sure it is covered up or in some kind of bag....they just don't want the alcohol out in plain view I assume because it doesn't fit the Disney image. We had our own mugs that we used during the cruise that we took to the pool area and other casual areas....but we also ended up purchasing beer and some fancy drinks as we found that the prices were not as bad as we had imagined....Happy sailing.