You can get peanuts from any of the various "street vendors" outside the park at a lower price and bring them in. That is allowed by the Sox.
Also, hypothetically speaking of course, you can buy shooters from the great folks on the 35th street bridge and put them in a pocket before entering. Once inside you can just mix with a soda of choice. You support the local community and help curb the price gouging. That is just hypothetical of course and I would in no way encourage people to do such a thing