From experience of living in KSA, if one was to befriend locals (not the easiest thing to do...), one would find someone who made their own. Consequently, I ended up drinking at the homes of local Saudis/non-Saudis who lived their whole lives there. Of course, some of them would have contacts to those on compounds (which I didn't live in sadly), or they'd simply smuggle it in from Bahrain/Dubai/Doha