This is one of the most popular quotations attributed to Shaw. In fact, it is kind of a meta-quotation - a quotation about quoting. Personally, I couldn't resist using it for one of my essays, although I wasn't absolutely sure whether it was apocryphal, so I had to be extra-careful not to make any direct attibutions. Kind of cheating, I know.
However, I have been doing some research with my database and I've found the following on page 31 of The Independent Shavian (38:1/2)
Does anyone have a copy of this book? It can be ordered online, but the none of the versions on googlebooks allow a snippet view so that we could locate at least the relevant page.
Also, these words have been allegedly taken from an earlier article from The Independent Shavian (19:2), which I don't own myself. Does anybody have a copy to corroborate this was quoted accurately. At any rate, it would be really helpful if someone can post in the comments section below the excerpt in which "Shaw may be found explaining" his own words.