What does it mean?
She cheekily suggests that being "bad" (naughty and flirtatious) is even more fun, and she's even better at it.
Who said it?
Mae West: American actress and comedian (1893–1980). Source: I'm No Angel (1933).
Funny– Mae West, I'm No Angel (1933)
“When I'm good, I'm very good. But when I'm bad, I'm better.”