Actually, thanks to the History Channel, he was actually referring to the enemy snipers when he was killed. It was "History of the Gun - Snipers", IIRC.
I first came across this story in "The Experts Speak," a collection of "expert wisdom" edited by Victor Navasky and Christopher Cerf. If you enjoy this site, you might like that book also.
According to Wikipedia the exact quote is an urban myth. He said something along the lines of the quote a few minutes before being shot. However, it's not his last line and he wasn't shot in the middle of it.