I don't recall ever reading an official confirmation of this, but when Sarah Palmer said that in the last episode, it sounds like they dubbed over Windom Earl's voice saying the exact same line (but speaking backwards...so the voice coming out of Sarah's mouth sounds just like Windom talking backwards/forwards as he did to Coop, just before stabbing Coop in the Lodge). At the time Sarah said that line you quoted, I'm pretty sure Windom was in fact in the Lodge, and Coop was either in the Waiting Room or the Black Lodge. So the timing of Windom saying that through Sarah would also be just about right, despite the bizarre nature of time in the Lodges.
If' I'm right about Windom speaking through Sarah to Major Briggs, was that an attempt by Windom to lure Briggs into the Black Lodge, in addition to Cooper? His previous trip to the Lodges was not thoroughly shown as Coop's was, but if Hawk was right about a failed showdown with your shadow-self resulting in a trip to the Black Lodge, then that would imply that Briggs succeeded in facing his inner demon since he claims he made it to the White Lodge. Maybe the Black Lodge somehow felt cheated at not aquiring Briggs when the Guardian brought him in? Then again, I don't know anything about the Guardian who abducted Briggs, or what transpired immediately after they left Coop alone in the woods...
...speculation, speculation, speculation....
"Go to the sound of cutting wood."