That's true, but they have an huge black-market for alcohol. Death penalty for smuggling alcohol is absolutely not seldom, yet you can find a shit ton of Saudi princes who'll only throw a party if alcohol is available.
Foreign workers in Saudi Arabia are usually constricted to live in special districts, where certain rules are a wee bit less draconian. But this only applies to highly skilled workers as long as they stay in their assigned residence. And even then you should be very, very careful about your actions. You'll only be safe, if you avoid Saudi citiziens at all costs.