What type of cookie to use, when an Australian recipe calls for “crushed biscuits”

The short answer is yes; the longer answer depends on what kind of soy milk you're buying and how you plan to use it. I've used soy milk in my breads and cakes without noticing much of a difference in texture, but I use the unflavored, unsweetened versions of it (especially in cake-baking, as many recipes call for vanilla and some soy milks have vanilla in them). I avoid "light" soy milk when making creamy dishes or sauces because I want them to have the creamiest texture possible. If you're using soy milk in a soup or stew, don't allow it to boil because that can cause the "milk" to curdle (and add your acids at the end of cooking, also to avoid curdling). Oh, and be aware that some brands of soy milk are very sweet (you can buy it unsweetened, though); the sweetness might not work well in some dishes.

The primary purpose is for flavor. If it's the expense of a large bottle for a few tablespoons here and there you should be able to buy the mini bottles (as are served on airplanes) from a local liquor store.

If you don't want to use or have it around due to issues with alcohol then look for other items that have as similar flavor to substitute. Sherry has a sweet nutty flavor to it and apple juice can often work suitably well. Keep in mind you'll probably not find an exact flavor match but it can be close. A small amount of orange extract could be used in place of grand marnier. Depending on the item, you might also try flavored syrups that are used for coffee drinks. Remember that these have a lot of sugar in them so you'll need to compensate by cutting back on sugar elsewhere in the recipe and obviously don't use them where the sweet flavor wouldn't be welcome.