The first printed citation I can find is from the Texas newspaper The Port Arthur News, from February 1946. This was headed - "Meryll Frost - 'Most courageous athlete of 1945'": "As he received his trophy, the plucky quarterback unfolded the story of how he 'came back'. He said 'They say behind every great man there's a woman. While I'm not a great man, there's a great woman behind me.'"
The use of the phrase in that quotation suggests it was well-known at the time, and may be much older than 1945.
I say it is one lucky man who can claim a red head. Santa is claiming this redhead with a gun who is guarding the presents until they are delivered to their rightful home!