What's all the talk about doing as the Romans do? Is that really a good idea?? Sometimes I wonder. In any event, about 1600 years ago, St, Augustine traveled to Milan after having been in Rome. When he realized that the Milanese did not fast on Saturdays as the Romans did, he had a talk with St. Ambrosio, the bishop of Milan who answered: "When I am at Rome, I fast on a Saturday, when I am at Milan, I do not. Follow the customs of the Church where you are". This phrase was then adapted to become "When they are at Rome, they do there as they see done" as written by Robert Burton in his Anatomy of Melancholy. Eventually the widespread phrase evolved into "When In Rome, do as the Romans do".
More interesting word and phrase origins
here