uline.com has sone very good boxes for shipping wine, from one to six bottles at a time. Do a search on wine and they will come up. The problem is you would have to bring the empty box and the insert with you (probably as checked baggage) to fill up with wine. But there is a chance the wine shops you are visiting will have something similiar they can sell you.

I fully understand what you are doing, there is a cardonnay we love that you can't get in the US from Australia, we always bring some back when we go to the UK, where it is available.