IU believe he said it to one Lady Astor.
Actually you are both wrong. Here is the correct story: Lady Astor said to Churchill, "If you were my husband I would put poisen in your coffee". To which Churchill replied: "Madam, if you were my wife, I would drink it!"
The other quote IS attributed to W.C. Fields and the correct version is: A lady said to Fields, "You're drunk!" To which Fields replied, "Yes, I am, and you are ugly. And in the morning I won't be drunk, but you will still be ugly"
Cheers
I thought it was WC but both of them were all day drinkers and the two jokes are very similar.
Thanks for the catch and reminding me of the coffee version by Winnie.