"When Thou Art At Rome, Do As They Do At Rome"
Context: Surely one of the early pilgrims who went to Rome started the practice that caused Robert Burton to set down in his Anatomy of Melancholy (1621) (Memb. 2, Subsec. 1): "When they are in Rome they do there as they see done." We say "When in Rome, do as the Romans do." Sancho Panza, riding his ass, Dapple, from his island to join his master, meets half a dozen pilgrims. To his surprise, one of them addresses him by name and identifies himself as a former shopkeeper from Sancho's village, Ricote the Morisco. He invites Sancho to have lunch with them. The squire watches their lusty manner of eating and the way they pour down their wine.
Sancho admired all this extremely; he could not find the least fault with it; quite contrary, he was for making good the proverb, When thou art at Rome, do as they do at Rome. . . .