If you are at Rome live in the Roman style; if you are elsewhere live as they live elsewhere. St. Ambrose to St. Augustine. Quoted by Jeremy Taylor, Ductor Dubitantium, I. 1. 5. Reported in Hoyt's New Cyclopedia Of Practical Quotations (1922), p. 677.
If you are at Rome, live in the Roman style; if you are elsewhere, live as they live there. Quoted in Ductor Dubitantium, or the Rule of Conscience (1660) by Jeremy Taylor, I.i.5; commonly rendered into a proverb: "When in Rome, do as the Romans do", or simply "When in Rome..."