1) This phrase refers to the effect alcohol gives to one's tolerance to the cold. It is more commonly used in the colder states. Using this phrase, one is saying that the alcohol is providing all the warmth one needs to go outside into the cold, without needing a real jacket.
2) It also can be used to mean that one is so plastered that any and all bad weather can be ignored.
1) Guy 1: Dude, it's hovering around -10 degrees out there...don't you want to grab your jacket?
Guy 2: S'all good man, I already have my liquid jacket on.
2) Girl 1: It's pouring out there! Where's your jacket?
Girl 2: It's ok, I brought my liquid jacket with me.