"Maybe a silly question, but can you buy it duty and tax free and drink it there?"
Yes, you can drink what you buy right there. There is no sales tax and there is no duty assessed when the liquor is imported into the Bahamas. The Bahamian prices can vary somewhat (depending on the location of the retail store), but are much less than the US prices.
"How does duty-free shopping work?
It's simple. Merchandise that is sold duty free has had no import tax added to the price. Dealers pass the savings on to customers. Depending on your home country, you can take back goods worth up to a certain amount without paying any further tax or duty on them when you return.
For citizens of the U.S., the limit is $600 worth of goods, plus two litres of liquor per person. You'll need to be in the islands for at least 48 hours and you can only do this once in 30 days. A 10% tax is charged on any amount over $600 but less than $1,000. Any items made in The Bahamas are not counted toward the duty-free limit.
For families living in the same household and traveling together, the individual amounts can be pooled. A husband, wife, and two children, for example, may carry home $2,400 worth of goods. (The kids don't count toward the liquor total, though. )
Americans can send gifts home, as long as the value doesn't exceed $30 per day to the same person. The words "Unsolicited gift" must be on the customs form when the package is shipped.
Canadian citizens are allowed to take back up to $500 worth of merchandise and 40 ounces of liquor per person, after they've been traveling outside Canada for at least seven days. Their unsolicited gift limit is $40."
http://www.thebahamas.com/shopping/duty.htm
The liquor traffic flow is generally out, not in. I wrap the bottles and place them in the middle of our checked luggage. I haven't had anything "wander off" or break apart yet. Maybe I am just lucky. ... eom