Thanks everyone for your tips/concerns.. I agree that the safe may tip "security" off, but it would be a handy thing to have...I think I am going to do a combination of packing some wine in luggage with styrofoam containers and egg crate padding, and also buy the smaller safe, then see what happens.
And yes, I 've been sampling lots of wines here stateside, so I am only going for wines that don't have a wide distribution network yet !