We have been on both OV and OV2 and they keep any drinks purchases until the end of the cruise. You can have wine in your cabin but you pay extra for this. There is a cheap duty free shop at the port in Palma and my husband went back off the ship twice before we sailed and each time managed to bring alcohol back on. Normally you are required to hand over any alcohol bought in port and it if given back at the end of the cruise. If you look on the internet you will find some truly amazing ways that people bring alcohol on board.
Most cruise lines allow you to bring on two bottles of when when returning to the ship, but for drinking in your cabin otherwise like in any other restuarant corkage will need to be paid to drink your own wine in their restuarant!
There is wine for sale in the ship's shop for consumption in your cabin, but it's pricey. Although I shouldn't admit to it, if you hide a few bottles in your main luggage it gets taken to your cabin on boarding and you can then enjoy it at your leisure. I always get my bottle of medicinal brandy on board this way and it gives me satisfaction to knwo that I've beaten their petty rules.