This quote is not by Winston Churchill, but is commonly falsely attributed to him. It appears in the "Red Herrings: False Attributions" appendix of Churchill by Himself: The Definitive Collection of Quotations by Richard Langworth (PublicAffairs, 2008).
Thanks Sue, there's a note on the quote page:
In addition, clicking from the quote and into this forum will bring people here, to your valuable note. Many thanks!