This article describes the process for moving to Canada and importing your wine collection. It focuses on British Columbia but the general procedure should be applicable in other provinces (although you will need to check).
If you are moving to BC from another country, you can import your wine collection into BC as part of your household goods so long as you have owned the wine for at least 6 months prior to your move. However, you must follow the proper procedure involving the BC Liquor Distribution Branch and Canada Customs.