according to at least one Mae West FAQ sheet, she never said it in a film until after she became famous for saying it!
the line often attributed to her, "Is that a gun in your pocket, or are you just happy to see me?" was actually never said in a Mae West movie until her last, "Sextette." And that was actually a self-reference, having had the line credited to her so long ago. It is rumored that she first muttered a version of the line to an interviewer.

other quotes from My Little Chickadee

Judge: Are you trying to show contempt for this court?
Flower Belle: No, your honor, I'm doin' my best to hide it!

Mrs. Gideon: Ohhh! I hope that wasn't whiskey you were drinking.
Cuthbert J. Twillie: Ah, no, dear, just a little sheep dip. Panacea for all stomach ailments.

Cuthbert J. Twillie: Come, my fox, my flower! I have some very definite pear-shaped ideas that I'd like to discuss with thee.

Cuthbert J. Twillie: During one of my treks through Afghanistan, we lost our corkscrew. Compelled to live on food and water -

Cousin Zeb: Uh, is this a game of chance?
Cuthbert J. Twillie: Not the way I play it, no.