We buy nearly all of our wine in Missouri - prices are about what you referenced above for Conundrum and Santa Margherita.

Wine can only be sold in package liquor stores in Kansas. While I've heard of the warehouse chains setting up separately-licensed liquor stores on their premises to meet state requirements, the Costcos in Kansas haven't done it. They only have 3.2% beer.

The net result is that wine ends up costing a lot more in Kansas, so we try to buy ours at the Missouri Costco.

EDIT: I just noticed the second half of your question: do you tote them home? In other words, have I ever found wine so cheap somewhere I was willing to buy a case and check it with me on a flight? I haven't done that specifically because of cost, but every time we go to Napa/Sonoma, we end up buying a case or two. Every UPS or Kinko's store in that area will sell you the airline-approved cases for $10-12 each. They usually have 4-bottle and half-case packs too.