It is somewhat rediculous, but since most Canadian airports that offer duty free to the US do so just prior to pre-clearing US Customs, you should be able to pack your purchase into your checked bag(s). However, for those who don't check bags, it is a problem.

I came back last night from the US with two bottles of wine packed in my checked luggage -- first rolled in a shirt, then placed in one of those thick plastic laundry bags one gets in the hotel closet, then wrapped once more by another shirt of other cloth item...all packed tightly in the case. No damage ever in such situations after doing this for decades. (All those free bottles of wine at hotels just cannot be consumed during the stay, so end up in my wine cellar.)