I'll get my coat

[pne]

I've realised that while I, very occasionally, use the phrase "I'll get my coat", that I'm not entirely certain what it means or when it's used—possibly because I don't know the original reference but simply picked it up from cultural clues (mostly on the London.pm mailing list).

It seems to be a British thing, and to mean something along the lines of "I just said something that's embarrassing (or that may be potentially embarrassing and/or wrong), so I'll get my coat and leave"; is that about right? How would you explain when this phrase is used? Can anyone tell me its origin? I'm guessing a radio show or something.