a couple of things.

Yes, you can do this. Mexico allows passengers to bring up to 3 litres of alcohol into Mexico free of customs tax (i.e. duty-free).

Are you flying through Mexico City or directly to Cabo? If arriving at Terminal 1 in Mexico City you will be able to purchase from the duty-free stores ON ARRIVAL immediately after passing through La Migra (passport control) and before reaching Aduana (Customs). There are reports that this is also the case at SJD Terminal 2 but I have never been there so can't personally confirm this. (Of course, if you are connecting then bottles would have to be put into checked bags).

Having said all of that - in the last few years prices of alcohol have dropped dramatically in Mexico and now alcohol with tax is MUCH cheaper at local stores than at the duty-free stores - on the order of 25% or more. If you purchase at reputable stores (Costco, Walmart, Sam's Club, etc.,) then you will save significant money and be assured of legitimate product. Just ask your driver to stop on the way to your hotel/resorts.