Lots of advice so far, But here is mine...I have brought back lots of wine, typically a dozen bottles of either wine or beer, but much more time to time, up to 60 Bottles.
First, do your research, do not buy a wine readily available in the US, unless it is at a steep discount. As an example, I have picked up bottles of Brunello di Montalcino and other super Tuscans, but the lesser known wineries and for less than half the going price in the US.
While many say you can get nearly anything if the US...yes, you can get something close, but the small winery you visit likely is not distributed in the US, so if it is special, bring it back for a special occasion.
Buy only stout bottles with a punt or divot in the bottom, cheap thin bottles will only break.
Declare your wine when prompted, but even with the 60 bottles, from Europe, i was not asked to pay duties. From Mexico, Canada, or the Caribbean, rules are different, but there really is no "limit" from Europe.
You mention that you will not have "luggage", but I will relate for reference that I can safely pack 6 750 ml bottles in a carry-on size bag, packing with dirty clothes. Many wineries will pack for shipping, so you can easily buy supplies there, or they may provide for the fee of a dozen bottles. Otherwise, we have bought suitcases there, sometimes a hard plastic case (from IKEA I think), but for $20 dollars or so, if you can keep it under 50 lbs, it is cheap shipping.