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You used to be able to buy alcohol in Costas own duty free shops and take it back to the cabin but they stopped that last year and will now keep it until the end of the cruise.
We have been lucky on the last 2 Costa cruises we have taken alcohol on board through hand luggage and it has not been picked up by security!!
The Italians would consider that kind of behaviour as cheap skate rather like taking ones own alcohol into a public house.