I'm looking for confirmation, but it would appear that Sarah Palin's memorable citation at the end of her speech today may come from Major General Oliver P. Smith:
Opposed by no less than eight Chinese divisions, fighting through numerous enemy roadblocks as they made their way south, and forced to endure subzero temperatures, the Marines suffered thousands of battle casualties and cases of frostbite. Yet Smith’s dogged leadership and crucial air support enabled them to maintain their tactical integrity and inflict 25,000 casualties on the Chinese. Asked by a journalist December 6, if the Marines were retreating, Smith, in a widely circulated quotation that earned him great acclaim at home, defiantly replied: “We are not retreating, we are just advancing in a different direction.”
Perhaps MacArthur used this quote in another context, even quoting Smith, but I can't find any other attribution for MacArthur.