wine is more expensive in Thailand than in Australia but not that much. A bottle of decent Aussie red will average at 450Bt - about AUD$15, the same plonk would probably cost about half that in Oz. But paying 450Bt for pleasure isn't too bad, you can spend that amount on beer in a bar in an hour. Also in the liquor sections of supermarkets you can get cheaper wine from Italy & France, a 2Lt bottle for 400Bt, not the best drop but drinkable. Some of the Thai wines are improving in quality too, a new line named Monsoon Valley is pretty good.
Anyway, you say "we" so I presume there's at least 2 of you, so put a cask each in your bags. Don't worry about carrying spirits because they really are cheap in Thai supermarkets.