In that case does it seem like I need to warn him that I don't want to be the one taking him to the liquor store?
IMO, no, it doesn't sound to me like you have to warn him. Just let him know when you are comfortable speaking to him about it, civilly and without accusing him of anything, that this is your boundary and let him know he will have to find alternative means of getting to the liquor store. Believe me, I KNOW what you are talking about because that is what my Dad is always doing, asking family members to pick some up for him or take him down there. It's very annoying. I would just plan out what I am going to say ahead of time.