Learn Croatian: Oni nikada ne piju vino.

In Croatian, double negation is completely normal and grammatically required! When you use a negative word like nikada (never), you still have to put the negative particle ne right before the verb. Literally, it translates to 'They never do not drink wine.'

Is ne always a separate word from the verb?

Yes, the negative particle ne is almost always written as a separate word right in front of the verb. There are only a few very common exceptions in Croatian where it combines with the verb (like nisam for 'I am not' or nemam for 'I do not have'). For almost all other verbs, including piju, it stays separate: ne piju.

Where does the 'j' in piju come from if the dictionary form is piti (to drink)?

Many Croatian verbs have a slightly different base in the present tense compared to their dictionary form. For piti, the present tense base changes to pij-. When you add the 'they' ending, it becomes piju.

Why doesn't the word vino change its ending since it is the object of the sentence?

Because vino is a neuter noun (words ending in -o or -e are usually neuter). In Croatian, neuter nouns look exactly the same in the accusative case (when they are the object receiving the action) as they do in the nominative case (when they are the subject).