The saying is a translation of the Late Latin, "si fueris Romae, Romano vivito more; si fueris alibi, vivito sicut ibi," meaning "if you are in Rome, live according to Roman custom. If you are elsewhere, live as they do there" and is attributed to Saint Ambrose, who lived at the end of the 4th Century. So if the attribution is correct (and there's no real reason to doubt it) then it would have been a saying at the very latest by the 4th Century