The alleged quote gets bandied about a lot by everybody from teachers, professors to think tanks (I recently heard the New Economics Foundation reciting the quote), but I've never seen anybody actually source their claim.
It seems to be from one Conor Burns, later MP for Bournemouth West - http://conservativehome.blogs.com/centreright/2008/04/making-history.html :
"Late in 2002 Lady Thatcher came to Hampshire to speak at a dinner for me. Taking her round at the reception one of the guests asked her what was her greatest achievement. She replied, 'Tony Blair and New Labour. We forced our opponents to change their minds'."
That was April 2008 (the post, that is): it took a mere half a decade after that for the quote to go viral among our media, such is the sentinel-like attentiveness of Her Majesty's press.
I've no reason to imagine Mr Burns would misreport the words of The Leaderene, so I assume they are a fair representation.