I haven't checked this myself, but snopes.com (a site known for debunking urban legends, etc.) has a note on this issue.
It is concluded that: "Although these words have been attributed to him for several decades, apparently no one has ever been able to turn up a source documenting that he actually said (or wrote) them, in 1944 or at any other time."
Further, "As far as we know, the closest connection yet found between Norman Thomas and the substance of the words attributed to him is something that was written to (not by) him, a 1951 letter from Upton Sinclair, the noted American author..."
Read the full post here for more information.