Are you in Illinois? Illinois law permits alcohol purchases at Costco without a membership. (To be more precise, Illinois law prohibits a club membership requirement to buy alcohol). If you go in and say you're only coming to buy alcohol and that's all you go out with, you can buy as much as you like without paying a membership fee.

This is true in some other states as well and is worth looking into, to see if it's legal in your state, if you have a Costco nearby. I don't know how the wine values are at Sam's Club, but the same law applies.