Will you have a car? If so, most (self included) will recommend Lee's
Discount Liquor (or something like that--look it up). They have like
six stores, and you want the one that is big, so call one and ask. I
know where it is, but I don't knwo the street off hand. It's up to the
top of the strip, then left on Sunset, then several miles, I think.
You'll need to drive in any case. Everything on the strip is wildly
overpriced. I lived in the area (Park City, UT) and vacationed in Vegas
several times a year, to qualify. Oh, and your luck will be better with
malts than wine, although they do have a legit cellar. Vegas is nothing
like New York, though. It's all about slushy drinks, Bud, and Elvis
impersonations, not quality. That's a generalization, of course. Best
of luck!

John