What is proper wedding gift etiquette?

Ask the couple and their families what stores they have gift registries at. If you can't contact the couple and their families don't know where they are registered go to a website like:
registryfinder.com
weddingchannel.com OR
giftregistrylocator.com

and enter in the couple's names. These free registry finders will find out where these two names are registered (which stores). If the couple is registered then this service will pick up on the stores and their gift choices. You can then go to a physical store or their website and buy things off of their gift registry. It's better to buy weddinbg gifts off of their registry because they actually chose these gifts. That means that they will love whatever you buy, because they chose it.
Also, don't bring the gift to the wedding. Have it the store ship it to the address that the couple has on file at the store.