I'd completely forgotten the paper bag. I don't know the history. I wouldn't doubt the history in The Wire, but the tradition / custom / requirement extends far beyond street-corner winos. You can ask at the grocery not to have your milk put in bags (which always seems a little silly to me, it's as easy to carry a gallon plastic milk container as a bag containing a gallon plastic milk container, and nothing else) but the moment a checker comes to any alcohol, in a paper bag it goes.
And that's if you're fortunate enough to have a grocery that's allowed to sell alcohol. In large parts of Texas it's still illegal. In those places where it's legal, they won't be allowed to sell spirits. If your county/city allows the sale of spirits (many don't) you have to go to a store licensed to sell spirits. They have much more restricted hours of operation. And at least anywhere near me (and I think this is the whole state, but I won't swear to it), no off-premise alcohol sales are allowed at all between midnight and noon on Sunday from any kind of store.
In most places you can carry around an unopened bottle, but you can't open it in public. At least, that was true until the pandemic, when bars wanted to stay open while being banned from having patrons indoors. In my town, the by-laws were quickly amended to allow alcohol consumption in the town square, and I would be very surprised if they ever repeal that. It's been hugely popular even after bars have more-or-less returned to normal.