Liquor laws may differ where you are but I wouldn't recommend bringing alcohol into a bar where I live. If you're caught, you'll, at best, be kicked out.
Depending on the local laws, being arrested might be possible. Laws around alcohol tend to be intentionally archaic. The other bad possibility is that the bouncer bounces you around a bit before shoving out the door and onto the street. Not likely most places but certainly possible in some of the edgier bars.
I’ve done it plenty of times. Sit in the corner and pour in one of the shots, no one notices (the bottles are too small).
I’m not advocating ripping off the bar. But if you and whoever you may be with are already in $100 range, I think it’s fine to do. They markup the prices pretty dramatically and it makes a difference if you are going out a lot.