Mae West was as renowned for her aphorisms and witty sayings as she was for her abilities as a writer and film star. My own personal favorite—or at least my favorite among those appropriate for this website—is the immortal "too much of a good thing can be wonderful."
In the particular saying quoted in your question, she's revealing, as she so often did, her considerable joie de vivre, her great love of life lived to the very fullest extent. What she's expressing here is the notion that life is mainly what you put into it. If you live life on your own terms and cram it full of amazing experiences, as Mae West certainly did, then when the time comes for you to leave this mortal world behind, you can say that you lived life the way it should be lived. That's more than enough for one life.