WHERE IT WAS SAID

At Delmonico's restaurant (to Edgar Saltus) in New York City shortly after Wilde's arrival in New York, 1882

SOURCE

Oscar Wilde, An Idler's Impression. Chicago, Brothers of the Book, 1917, pp 14, 15.

Edgar Saltus, 1855-1921

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DELMONICO'S

It is not clear at which Delmonico's location Wilde said the remark. For a history of the various Delmonico's restaurants and their locations see Wikipedia.

Related:

A Wilde quotation about Delmonico’s.

WHERE IT WAS REPEATED

In a newspaper report of an encounter with Wilde.

The Midland Daily Telegraph, January 18th, 1894.

These two examples occurring 12 years and 3000 miles apart lend credence to the remark.