That saying was made by Micky Mantle, a US baseball player, who died of alcohol related illness in 1995. I'm not sure he was the first to utter it.
There are a number of quotes of Winston Churchill that I love:
“There are a terrible lot of lies going about the world, and the worst of it is that half of them are true.”
And some of his put-downs:
"Mr. Attlee is a very modest man. Indeed he has a lot to be modest about."
“I may be drunk, miss, but in the morning I will be sober and you will still be ugly.”
[Lady Astor to Churchill]: "If you were my husband I'd put poison in your tea."
[Churchill]: "Madam, if you were my wife, I'd drink it."
A couple of things he denies saying but wished he had:
“If you wanted nothing done, Arthur Balfour was the best man for the task. There was no one equal to him.”
"An empty taxi arrived at 10 Downing Street and Clement Attlee got out of it."
One said to be attributed to Abraham Lincoln (though not confirmed):
"Better to remain silent and be thought a fool than to speak and to remove all doubt."